You need to do adequate dialysis - two exchanges are inadequate. You will require 3-4 exchanges. Once you do good exchanges your itching might subside. It is usually a sign of inadequate dialysis.
Also check Calcium, phosphorus, alkaline phosphatase and intact PTH in blood. You can use any oil - paraffin oil is also fine.
There is no need to use Bactroban every day - if you keep your exit site dry & clean. You will need Inj. Erythropoietin to target your haemoglobin to 11-12 gms%. You should do these in consultation with your nephrologist.