I have very long hair, so it's important for me to wash them only every 2 or 3 days. Three things that helped me when my hair was too oily:
Changing shampoo. Some shampoos didn't work for me and made my hair even oilier. I believe it's because they were too drying, so the scrap was producing more oil. Dry shampoos often have a similar effect. I used them only as an emergency and washed my hair as soon as possible.
Touching hair as little as possible. I noticed that when I play with my hair or occasionally run my hand through them (or let others do that), they are super oily by the end of the day.
Putting hair up in a ponytail. I find this to help with the above. If I have my hair up, I touch them less. I get that some people like to keep their hair down, but at least when working out, this is a must.
If you are worried about using shampoo every day, you can wash it alternatively with shampoo and only water. (One of my friends washed her hair only with water for a month, and it helped her hair, but after that, she had to go back to shampoo because only water didn't feel right.)