This is one of the most important things you need to do to protect the engine. An engine can wear out in under 10 minutes if the filter is not oiled.
The polyurethane foam, from which the filter is made, has an open cell structure which will allow dust and fine dirt to pass through it if it is not oiled. The "sticky" filter oil is suspended in the path of the dirty air on the strands of the web-like cell structure of the foam. This makes it almost impossible for dirt to pass through the depth of the filter without sticking to the strands. As the outer strands become loaded with dirt particles, the wetted strands down stream start trapping dirt.
This prevents surface loading or air restriction for 80% of the service life of a freshly cleaned and oiled air filter element. The filter must be cleaned and re-oiled after running several tanks of fuel (more often in extremely dusty conditions). You can purchase foam filter oil from a motorcycle or automotive shop.
To clean the air filter, take the foam filter element out of the intake and use safety solvent or soapy water to clean the dirt from the foam element. Use your fingers to work the dirt out of the foam. When all the dirt particles are removed (this may take several rinses), squeeze out solvent/cleaner and then apply an amount of foam element air filter oil sufficient to saturate the foam. Make sure the entire filter is oiled and then squeeze out all excess that you can (Don’t wring out the filter). Install the foam element in the air intake, making sure that the foam is fully seated in the intake with no open spaces around it that air can leak through.