A couple things to consider.
1) carbon treatment to remove taste/odor
2) bubble the CO2 thru water and oxidising solution . Water will remove any impurities, oxidising solution (typicall KMnO4 ) removes oxygen.
3) final filtration, be it paper, cotton or some cartridge type will remove any fines, any suspended matter and a final barrier
You have to use a multi barrier approach. Item 1 n 3 will also help remove any oil. This is the very traditional approach.
Nowadays most carbon dioixde supplier can supplier very low oxygen and quality gas (odor, etc). Depends on your vendor. Actually your CO2 vendor is in a better position to recommend.