That guide was written for Ubuntu but it WORKS!! Oblivion for me runs exactly with the same quality (except for sound) as it does on XP. Graphics are just stunning. Here are the caveats for SL as your setting it up:
1.) Setup the cdrom in winecfg as D: /media/Oblivion (for cdrom) or follow the guide for an .iso setup (would not work for me).
2.) SL 3.3 comes with wine version .32 which is more than sufficient for this, so no wine install required! Just ignore that part and skip to the actual setups.
3.) Follow the guide exactly and to the letter for everything else. I had to copy of a .dll from my windows partition. Forget the exact one but you will see it if you run into that error (w9_329.dll or some such thing like that). Anyway, I just copied that over to the c_drive/windows/system32 folder and it worked.
4.) You may run into a game crash after following the Emperor down the stairs the first time as I have. To fix that try messing with sound setups in winecfg or download the oblivion hack off winehq... Should work but sloppy fix for now.
Just amazing work over the last few months has gone into wine and its quality has now far surpassed Cedega if you really like to fiddle around alot to get your windows games working. The hassle definitely is worth the end result though IMO.