I want to say this person likes to be sarcastic to me. Is it, "He always rubs it in on me" OR "He always rubs it in me"?
Neither. You could say; "He's always rubbing it in." You don't specify what he is rubbing 'it' into. Bear in mind; this is slang. Alternatively, if you wanted to describe that the actions of his sarcasm were making you frustrated you might say - "He's rubbing me up the wrong way".
This formulation shouldn't be used formally as it is colloquial slang.