I only had the yellowing with the olive oil and that seems to be the consensus, as Molly mentioned.
One thing that is helpful to me is to prepare a cup of whatever oil I am using and to do a couple or three "mini-pulls" in an OP "session" -- i.e. I'll swish one mouthful for a few minutes, spit it out, and swish with a fresh mouthful two or three times -- usually about 20-25 minutes. Of course this uses a bit more oil, but sometimes it really feels a lot cleaner and fresher -- some days one mouthful is OK for 20 minutes, but on other days I feel like the oil can get really nasty really quickly so it's nice to keep going but with fresh oil.
I do think that the swallowing/gag reflex gets more manageable, too, over time.