In some applications it's required, but not usually with lug nuts. The main one I can think of is Honda crankshaft bolts say to put oil on the washer and bolthead surface before torquing, and the torque spec is adjusted accordingly (still 181 ft-lbs tho!).

The most I ever do for lug nuts is just wire brush off any rust so the surface is clean, and re-torque after about 100 miles (I check them occasionally after spirited driving too, since hot brakes and things cause thermal expansion that can loosen things up on newly installed wheels). I don't drive somewhere with salt, otherwise I'd maybe try using anti-seize like I saw someone else mention.