I asked the very same question some time ago. No real outcome, and tinternet gives for and against every possible option. I put a little blob of petroleum jelly on the tip of my bolts and return them to the lugs when they start feeling crunchy. I prefer smooth tuning and regular tuning to stiff nuts.
I'm not fond of oil beacuse it's messy and doesn't make the movement of the thread all that much smoother. Grease works better than oil. As a rule of thumb I use oil for dynamic applications- bearings, chain drives etc.
Vaseline works OK but I use some machine grease which I got from work (I'm an Engineer) and this works well for me. You only need a teeny tiny little smear of grease on the thread. It also stops the whole thing locking up.