I've found it washes right out of sheets and clothes, similar to any oil, if you use a decent detergent (I only use Tide) and hot water.
I buy the Sensuous Beauty Love Balm
which is coconut oil based and it's freaking fabulous as a lube. And omg wonderful in the bath. And it smells good.
You can get plain organic coconut oil at the grocery or health food store, though, for quite a bit cheaper -- like $12 for 16 oz. I do that, too, and often add a bit of vanilla bean to it to give it a nice scent.
Coconut oil is one of the nicest, most useful oils out there. It's so light, soaks in well and doesn't leave you the least bit greasy.
Wonderful, wonderful stuff!