From my wanderings around the net searching for different view points to widen my knowledge about various things mechanical I found this video enlightening but a bit long winded but he is a proper engineer so I guess he makes a valid argument for lubing your wheel lug nuts.
NOTE if you do then it is important that you lower the makers recommended torque setting by 30% to achieve the same clamping force.
NOTE if you do then it is important that you lower the makers recommended torque setting by 30% to achieve the same clamping force.