I always put on white sheets for clients, the silicon lube stains tend to be less obvious on them!!
Most silicone lubes are made of cyclomethicone, dimethicone and other siloxanes, which are insoluble in polar solvents (such as water and alcohol) but soluble in non-polar solvents (like hydrocarbons). I have used hexane and toluene (from the lab, and I don't particularly recommend bandying them about your bedroom) but you can also use mineral oil (baby oil) and dry cleaning fluid (tetrachloromethane, which is an organic, non-polar solvent).