I can understand that if you open up a lot of documents, you're going to use up a lot of memory. Right now I have about a 12K worth of files open and oxygen is taking up 286, 436K (according to TaskManager, WinXP). Clearly that's not sustainable. Granted my XSL is a little complex but not by much. And it hasn't run for some time now.
I suspect there's a garbage collection thing going on (or not going on).
Are you missing a feature? Request it's implementation here.