Describe a test to distinguish between calcium chloride and sodium oxide?

You could carry out a flame test to identify the metal component or you could use pH paper or silver nitrate solution to identify the anion.
To carry out a flame test, nichrome wire is heated to red heat and dipped in concentrated hydrochloric acid to clean it. It is then dipped in the solid sample then vapourised in the hot part of the bunsen flame. Excited metal atoms may fluoresce and give off a characteristic flame colour represented by the strongest lines in the emission spectrum.
Calcium salts give a brick-red colour, sodium gives a yellow/orange colour.
Calcium and sodium are 3rd and 4th from the left respectively.
(Image from BBC GCSE Chemistry)
There are a couple of simple tests you could do to identify the anion. If you dissolve a sample of each in water, sodium oxide is strongly alkaline to pH paper (10-14) whereas calcium chloride will be neutral. This is because oxide ions are strongly basic in water:
##O_((s))^(2-)+H_2O_((l))rarr2OH_((aq))^(-)##
If you add silver nitrate solution followed by an excess of dilute nitric acid the calcium chloride solution will give a white precipitate of silver chloride:
##Ag_((aq))^(+)+Cl_((aq))^(-)rarrAgCl_((s))##
(Image from BBC.co.uk)
This is the standard test for chloride ions.