Whether you lube the threads or not is a mute point, I don't know of any manufacturer that recommends lubing, but of course I don't know every manufacturer. It's standard practice at the Porsche specialist that I work for occasionally to copperslip the spigots and threads although its not an official Porsche recommendation.
What I do know and this applies especially to landrover products fitted with alloy wheels is you must torque them correctly and then after a decent run torque them again or you could end up losing a wheel.
I serviced a guys disco 1 and a few days later he came back with an odd noise that turned out to be loose wheel nuts, I was accused of not tightening the wheel nuts correctly, I new I had.
A couple of weeks later he had a new set of tyres fitted, making sure the tyre fitter torqued them up correctly. A couple of days later the "noise" returned, sure enough the wheels nuts needed tightening again, checking them a couple of times over the next few weeks proved they were still tight.
I'm not quite sure why this happens but I have the same issue with my defender on alloy wheels but curiously not with the steels?