I don't think it will explode, but if you want to be safe you can wipe it with a soft, lightly-damp cloth (water only), that will remove most of the oils transferred from your fingers, and then let completely air dry. Do this while it is not screwed in to the socket -- you can put strain on the bulb and the socket if you do this while the are connected and something could break.
That certainly would remove oils, just not sure what that could do to the bulb though so I wouldn't risk it.
i always use alcahol and haven't had any problems i like it because it fully evaporates off and dosen't leave any spots like water can