DO NOT shake out your sheets. All this does is spread them around so they can re-infest you or infest someone else. Use one of those tape lint rollers to get them off your sheets. fold the dirty tape over itself when you pull it off.
You can apply a diluted oregano oil to your skin.
They don't seem to be interested in going through the Oregano. Make sure you dilute it in oil or a cream as it burns like hell even at 25%.