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.