They should never be greased or lubricated, they should be fitted dry and if the mating threads are greasy then clean them out. If you grease threads then not only are you applying much more bolt stress for the same torque but the loosening force required is much less meaning they can come loose more easily.
Grease is probably why peoples wheels fall off VW even fitted a sticker but put it in a stupid place so some people have never read it.
Goes without saying that you should always use a torque wrench.
