I am not sure what precisely you are trying to demonstrate with the oil
red O?

The assumption in the responses I have seen so far is that Sudan black
is staining the same substances as oil red O. This is not necessarily
true and will depend multiple factors. Sudan black B, is known to also
stain phospholipids, not sure that there is any evidence that oil red O
does this. Can use sudan black on paraffin processed sections and see
some of the phospholipid because some is retained during the processing.

If you are trying to stain neutral fats and can accept poorer nuclear
staining then as Ian says use osmium tetroxide as block stain to show
this.
Barry