I'm thinking this might help prevent oxidation.
It couldn't hurt
Oxygen is one of the two beer spoilers that homebrewers can control. Reducing beer's exposure to it helps achieve maximum flavor stability.
Before going through the trouble and expense ask yourself if you have a problem. Do your beers taste like wet cardboard or stale crackers? Are you going to lay them down for an extraordinarily long time (years)?
Particularly, in secondary the beer is still producing CO2 and will again create a protective layer. I purge the headspace in my kegs, cap bottles on CO2 foam, but don't transfer to secondary. My beers last many months.
I wouldn't bother. As Jack said, the CO2 given off during fermentation will provide a protective layer between your beer and the evil oxygen.
If you want to be really safe, you could not use a secondary at all. I only use them now if I am adding fruit or something to the beer during fermentation. Instead I just leave the beer in the primary for 3–4 weeks and then bottle. Everything settles out nicely if you give it enough time and there is no risk of oxidation during transfer to a secondary. A lot of brewers are now doing this "no secondary" technique.
Take it easy.
To follow-on to Dean's answer - while it's not a bad idea to purge the secondary, unless you're having a problem with oxidized beer I wouldn't worry about it. If you're currently using, say, a 6.5 gallon carboy as a secondary for 5 gallon batches, a much simpler fix would be to start using a 5 gallon carboy as your secondary. You want head space in the primary, but you want no head space in the secondary. The bit of CO2 being given off in the secondary will fill a tiny head space without fail. The more headspace you have, the more likely your beer will come in prolonged contact with oxygen.