Everything drying out is normal - even with HRT. Winter time is the worst, with drying, icy winds and central heating sapping the moisture out of your skin. HRT does help a bit but taking Omega 3, vitamin D and eating really well can also help. Oil of O is a very light moisturiser - I'm not surprised your skin is drinking it. I've found the Clinique ‘Smart range' has helped me - it's rich, you only need a small amount (a little goes a long way) and it gives my skin a lovely glow. I know we aren't supposed to talk brands but it's difficult not to sometimes. Go to a Clinique counter and ask for samples - they will usually give them.
I smother my body in Neutragina unscented body moisturiser after my shower every day as well, or I get terribly itchy.
The menopause does get very costly in so many ways. DG x