It's interesting when the nasty oxide has low thermal conductivity, though. If you have 5 um of copper oxide, you can get a 1-uV offset with a temperature gradient of
dT/dx = 1 uV / (dV/dT) / 5 um
which is about 170 K/m. The kicker is that if the oxide has 100x worse thermal conductance than the wire, the wire only needs 1.7 K/m gradient to establish that sort of gradient in the oxide, which is where you care about it, of course.
Of course, that assumes equal surface areas. If you have a good thermal ground, it's probably OK, but screwing a lug into a binding post may or may not work well for that.
Cheers
Phil Hobbs