OK I'll try to explain this as best I can...

Say I'm using Sylenth1. I have my first oscillator's note value set to 0, i have the second set to 4 and the third set to 7. If i then play a C note, will this now be playing as the chord of C major? If so, does this mean that if i am trying to stay in the key of C major, if i then play a D note, it will take me out of key because when playing the D note, the chord D major will be played, which does not appear in the key of C?
I hope someone can make sense of what i mean!
Thanks.

Yes. To keep the D chord in the key of C it would need to be a Dm.

So would you say that it's best not to transpose oscillators if you're planning on playing a melody?

sounds like it, unless its what your after> You could also use what you did for stuff like chord stabs and such with the oscillators set to whatever chord you like best.

Detuning oscillators is good to add dimension to the sound. Normally, I would use the fundamental at a much greater volume than the other "partials", and with modulation that creates a somehow mixed timbre.
There are some famous sounds that use detuned oscillators, mainly in fifths, because this interval is neutral. There could also be detuned sevenths, to good effect, if the volumes and modulation are well balanced.
Usually, I avoid using ther third, because of the strong presence of this interval, and it's harmonic meaning, as you realized.