Heroin is just a lot more encompassing.
When you're snorting or ingesting oxycodone, it just really doesn't compare. You just could not possibly take enough for the high to be as powerful as even a weak dose of heroin. Infact, oxy hardly fucks you up when compared to heroin.
When injected, assuming your tolerance is low to moderate, oxycodone actually feels suprisingly similar to heroin. The rush is nearly identical. The high is very similar. But the high only last for 30-60 minutes and quickly fades away. If you have an above moderate opiate tolerance, though, shooting oxycodone is really just a waste. It will temporarily stop your withdrawals, but you're not going to get high.
It should be said, however, that injecting oxycodone in the form of OxyContin is dangerous and you should read threads about it before even considering it. I would highly recommend you NOT shoot OxyContin.
As for comparing the highs again, though. There is something about oxycodone I prefer to heroin. If I could quit using long enough to substantially lower my tolerance, I would rather be getting high on 20-40mgs of orally ingested oxycodone than using heroin. Oxycodone has a mood lifting property and euphoria completely unique and more pronounced than other opiates. And I would rather experience that than a strong high.