Ah! Lillies gets like that too, except most of hers is on her head. Its more adamant now because she has a head of 'white hair' with the tips of it that are still black from her baby hair. She looks like a GREASEBALL! We call her "Lillie the Greaser"
I give her a bath once a week and after about a day she's back to the old greasy hair look. As long as she doesn't stink, Im ok with the grease. Your little guy melted my heart when I saw him, such a cuttte face!