I have a mid 1990's 126p with worm & sector steering which appears to have oil in the steering box - although most of it has leaked out through a dodgy seal.

I've replaced the seals & gaskets but now need to refill it.

I notice Axel Gerstl have rebuilt steering boxes which state
"Attention: Already filled with NLG-I2 lithium grease! Grease is sufficient for optimum lubrication. DO NOT PUT OIL!"

I'd rather use grease myself as it's less likely to leak out but I was just wondering if any of you guys had changed from oil to grease or had any comments on that?

If oil is recommended then grease is not advisable. The grease gets pushed out of the way and stays there. If leaks are a problem just use a heavy oil. My old Austin uses SAE 140 oil in its box and I just top it up occasionally with an oil can.
The previous owner had use grease and the box was ruined and I needed to replace it. I have owned the car now for 38 years without issue.