How can I connect an oracle data base with a dbml file?

There are 3rd party Linq providers for databases other than MSSQL:

LinqToOracle and DBLinq. The latter works also on SqLite, MySql, and such. So no, you don't have to create dbml files by hand.

There's also a nice and clear tutorial here that explains how to get ready with DBLinq. Although it uses a MySql database as an example, that doesn't really matter, as you can just replace any MySql specific information with Oracle.