Oil Pressure could read Zero

[mroliveira]

1994 SL320 with 96,000 miles. I bought it just 4,000 miles ago. When it starts, the oil pressure reads 3. Stays there for 15 minutes or so. When you put it in gear, it may read 1 to 1 1/2 on the gauge. If you drive it another 15 minutes, and come to a stop with it still in gear, it may read ZERO at the gauge. I see there is a warning light if it goes below 1, but the light never comes on.
I just put new oil and filter, and does the exact same thing after the oil seems to warm up.
Where should I go from here?
Thanks for any help.