I saw on TV one time they did a project to make a wood headboard into a nice padded, fabric-covered one. They just wrapped it in a thin layer of foam and then made like a giant slip cover to go over it and stapled it below the mattress level. They used a sheet for the fabric and then had matching sheets on the bed -- looked very nice when they were done.
But if you decide to paint the one piece -- that would be fine. It does not all have to match. Look at some of the higher end country furniture. They are all the time mixing paint and wood with natural stain.
You could even just put a blue stain on part of the bed and leave some of it in the oak, like this:
http://www.smokymountainwoodworks.co...roducts_id=184 and here are some other ideas for mixing on dressers:
http://www.amazon.com/2-Toned-Finish...897430&sr=1-18 http://www.amazon.com/Youth-Finish-7...897430&sr=1-19
I would probably not go with all dark blue -- Too much dark will make the room seem crowded and depressing. But it sure makes a nice accent on the mixed furniture.