A light application of grease or never-sieze on lug bolt threads is fine. Be sure not to coat the lug bolt's seating surface with the wheel.

Like any other bolt, lug bolts or studs hold on by the tension and thus elastic stretch on the fastener. If you put them on dry, you run the danger of hitting the torque rating by the thread and seating surface friction only. This friction is not enough to retain the fastener if there is insufficient elastic stretch.

I have always lubricated wheel studs and bolts, both on the threads and on the seating surfaces. I prefer anti-sieze, but use grease if necessary. I have never lost one which was lubricated and tightened to the proper torque, although I do believe that even a light lubricant like WD-40 will also give you the proper tension on the fastener.

Tight Lug Nuts
 

I had the same thing happen to me just last week. I after replacing my front brake pads I put the lug nuts on with my impact wrench (bad choice) I later took the car to sears to get the tires balanced and they initially could not get a couple of the lug nuts off. They did not want to keep trying and claimed that the lug nuts could break off. The mechanic agreed to soak the lug nuts with wd40 and try again. It worked, but I learned my lesson. I am going to buy a torque wrench before my next diy job.

Definitely use a torque wrench rather than an impact wrench. I also favor never-sieze on lug bolt threads.

If you do break a lug (seen it several times) you should take it to a shop that has a jig designed to drill them out. The wheel doesn't get damaged when the jig is used. Otherwise, I've seen it get pretty ugly:mad:

Try this trick.
 

When this happens in the shop, I always get stuck saving the day.:furious3:
This trick is for the long alloy wheel bolts on most MB's.
When those stupid tapered shank bolts break off, they usually do it
right below the 17mm head. There should be the siezed collar on the wheel
and the round shaft left behind.
Go get a new Craftsman 3/8 drive 11mm 12 point deep socket. $3.
Use a 3/8 to 1/2 drive adaptor (Impact Rated) and a 1/2 extension that you
dont care about.
Pound that sucker on there until it bottoms on the base of the wheel bolt.
A 3-4lb hammer works good.
Make sure all the other wheel bolts are there and torqued to spec.
Connect 24" breaker bar to socket and adaptor and give it one hell of a tug.
I have had pretty good luck this way.
One day I cleaned Sears out of 11mm deep scokets when I had over 10
siezed bolts on some p.o.s. rusty chrome wheels.
No damage, drilling, torching, or hubs needed. Most times:furious2:
Good luck.
DR.D