You need to buy a ferrule compression fitting with 1/8 inch pipe threads on the gauge end and take off the compression fitting and ferrule inside to use just the remaining part to screw into the gauge. Your ferrule and fitting will still be on the oil line hopefully. You may also need a short coupler or elbow in 1/8 inch NPT size to make a gender match with the gauge and fitting.
Ace hardware should have both. Ferrule is the magic word to use on the help. That is if the help is worth having. Measure your oil line thickness before you go as this type of fitting come in several sizes, but I'm thinking yours is probably 1/8 inch.