I've always made sure the entire mating surface is clean and then put it back on dry. Since the gasket it not rotating against its mating surface while it is being tightened such as with an oil filter gasket, I don't think there is any need/advantage to putting oil on it first.

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Ali Al-Chalabi

2001 CLK55
1999 Dodge Ram 2500 Cummins Diesel
2002 Harley-Davidson Fatboy
Merlin Extralight w/ Campy Record