Well, dssence, I've been putting wheels on vehicles for over 60 years and never lubricated a lug nut stud. I've never had a nut that I couldn't get off, nor have I ever had a lug nut come lose or lost a wheel.....
PS - I just tighten them down with a "star" pattern and tighten them up with a "cross" wrench till they squeak twice or I grunt once. Some folks use a torque wrench (around 75 ft lbs of torque usually keeps them on).