Well, in the United States, one can go directly into a PhD program after undergrad. You really don't have to do a master's if you know for fact you're doing a PhD, but you can if you want to. If you decide to do a master's first, I don't think you should be concerned about your competitiveness for US PhD programs with a degree from a university that is as widely respected in American academia as Oxford...especially considering the research intensive nature of Oxford MPhils. It shows that you'd be a great fit at any elite PhD program.