Is there any general thumb rule as to what should be the optimal sampling rate (4x,5x...10x)?
This depends a lot on your application, your specific requirements and the typical spectrum of the signals. 9kHz sounds like audio, where something like 2.5x-3x would be a good starting point.
A non trivial aspect of sample rate selection is "what can the HW support easily?". In your case audios ADC are extremely good, extremely cheap and widely available as parts, reference designs (including drivers), and commercial off the shelf hardware. Unless there is a good reason to do otherwise, I would use a standard audio rate of 44.1kHz or 48 kHz. If you are worried about CPU resources you can follow this with a simple 2:1 digital down sampler and half the sample rate before processing. I would probably go with 48 kHz down-sampled 2:1 for a Nyquist frequency of 12 kHz.
I also read at some forum that it's not good to oversample and at another place I read that now a days CDs, audio recorders oversample the signal. Can someone clarify?
That's too broad a question. As with all technologies over-sampling is the right tool for some tasks but not for others. Here are some examples, where it is applied (in audio)
- Sigma Delta converters over-sample heavily. That's how they work in the first place
- Active Noise Cancelation system are often over-sampled (a lot), simply to keep the latency as low as possible and increase the bandwidth of the feedback loop.
- Any type of non-linear processing can increase the bandwidth and create aliasing. For example, some guitar effects processor over-sample before applying distortion.