Hi Amy - I tried everything with my 2nd to get rid of thick persistent cradle cap. I tried brushing, mineral oil, olive oil, vaseline you name it. All that really happened was that his hair got really dirty. He had it bad until he was well over 6 months old. The one product that finally worked was some Gentle Naturals Cradle Cap Care by Disney that I picked up in the baby isle at the grocery store.
It's very thick and creamy and it's applied in the bath and then you let it sit like conditioner for a minute or two. I used the soft scrub brush I got at the hospital and a very fine tooth baby comb to thoroughly work the thicker crud out of his hair. His cradle cap was pretty bad and it was virtually gone the first time I used the product. It also was relatively easy to wash out compared to the oils.
Hope that helps you!
C.