Actually, any vegetable oil will work - it doesn't have to be oive oil. Wesson, Crisco, store-brands - they all do fine.Try olive oil. Oil the sap spots well, and work it off with your fingers.
Soak cotton balls or pads in the oil. Work the pads into the sap until it is soft. Using your finger, break up the sap (you may need to use a grooming comb). Use a clean washcloth to blot up sny excess oil and residue. After you've cleaned up all the sap, give your dog a bath.