(This is, of course, assuming that you have already created a mesh which will work (ex: if it's armor, it needs to be rigged before this part!))
The latest Blender NIF scripts can only export up to 20.0.0.4, Oblivion uses 20.0.0.5 There is a way to get your Blender-created NIF's working in Oblivion, though! That's how I made my sword and Flame Atronach meshes.
1. In Blender, create a new window (or use an existing window, if you like) and change it to Scripts Window. Make sure to access the Export dialogue for NetImmerse/Gamebryo at least once. Under Scripts->System->Scripts Config Editor, select Netimmerse/Gamebryo under Export. Make sure force dds is selected and change the nif version to 20.0.0.4 Apply the changes, then export your NIF.
2. In Nifskope, open an Oblivion NIF like the mesh you're adding. If you're adding a sword, open an existing sword mesh; if you're adding armor, open an armor mesh, etc. Now, Go to File, New Window. In the new window, open up your exported NIF.
3. In your NIF's Nifskope window, select an object (NiTriShape) and right-click it. Block->Copy Branch. Go to the window with the existing Oblivion mesh and do Block->Paste Branch. Do this for every object in your NIF, copying them one-by-one to the existing NIF.
4. You'll need to attach your new pieces to Scene Root by parenting them to that NiNode and delete the objects that were in the original file.
4.a. Under the NiNode Scene Root (It should be numbered 0 and if it is not an armor piece, may be called something else, so from now on we'll refer to it as 0 NiNode), in the window you've copied all your pieces to, select and delete the NiTriShape and NiTriStrips (if any) that were in the file originally by selecting them and right-clicking, then doing Block->Delete Branch. Do this for each one you delete and keep track of how many you've deleted.
4.b. In the Block Details pane, while 0 NiNode is selected, look for a variable called Num Children. Take this number, minus the objects you deleted, plus the objects you added, and change that number to your new number, then hit enter. Now, right-click the array named Children and go to Array->Update.
4.c. Expand Children by clicking the +. Scroll down until you see the entry or entries titled "None". Input the numbers for your new objects into each entry (the numbers will be at the front of the NiTriShape block names, just how the root of the entire mesh is called 0 NiNode). This should parent all of your new mesh to the root NiNode of the mesh.
5. In 0 NiNode, check to make sure all your NiTriShapes are there. Right-click each of them and do Mesh->Update Tangent Space. If they are armor pieces, also do Make Skin Partition.
6. Last minute checks: Check to see if all of your texture paths are setup correctly. If you have to use Transform to change a weapon or static size, and if the object is not rigged, you may want to export OBJ and import OBJ the object real quick, or you may have problems with it offscreen culling in game.
