The only time I've heard it said is when the person is talking to a child or a pet, as in "Oh la la...c'est pas bien ca!" , said in a mildly reproachful voice. I personally have never said it, I don't think. It's one of those expressions the english speaking world attributes to us, be it because it was once used ( "sacrebleu!"), or maybe appears in french text books, which are often "skimmed" of the more popular/informal language. "Oh la la"would be replaced by a swear word, in the spoken world (well, for me anyway! lol)
Btw, I swear I'm going to kill the next person who asks me "what's the french for va va voom?" ;-)