If you are referring to "Oxycodone" (not oxycodin), this drug requires a valid prescription by a physician. If you posess this drug in any amount without a prescription, you could get into trouble. I know that it is a schedule II narcotic and therefore, posession with the intent to sell or being caught diverting this medication(without the script) would be a felony (class C)in most states ( at least it is in Arkansas). I don't seriously think that they would charge you if you only had ONE pill, however, having a whole bottle could be bad.
Also, this drug is tested for when employers do drug testing. If you do not have a script and have to submit to drug testing at work, you could get fired.