I usually don't. But this year I have a new-to-me car that had a couple of cross-threaded wheelbolts. Changing the whole hub is pricy and the shop refused to replace just the bolt. I managed to re-thread the other.

Anywho, most lug nuts were really on there, so I gave them a dab of marine grease. I always re-tighten at 1, 100 and 1000km and before any longer trip. But they haven't moved at all since the 1km re-tightening.