Check your spec, but torque values are often given for clean, dry threads. If you put something really slick on the threads, then torque to the clean, dry value, you will be overstretching the fastener. Depending on what you're doing, that might be okay, but it might not - if you stretch a fastener into it's plastic deformation stage, you have compromised it's integrity unless it was specifically designed to do so, for instance Torque-to-yeild fasteners that some cylinder heads have.
Personally, I use a light coat of oil on steel being threaded into steel, and anti-sieze on anything going into aluminum.
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Lubricating threads is your choice, it should be fine either way IF you take the time to calculate the appropriate torque for what you've done.
Many MANY years ago, I took a couple of months off to "see the USA" by car. Somewhere in the mid-west (Kansas, I think), I was passed by a Mustang that was really haulin' the freight. Twenty or so miles down the road, I encountered that same Mustang, sitting on the shoulder with the right rear jacked up. Turned out to be a young couple on their honeymoon, driving a fast car on bald retreads. Tire overheated and the tread departed from the carcass. Oops.
The lug nuts were rusted on so tight that the cheap wrench/jack handle had snapped. Being a former Boy Scout, I had a small tool set in my car along with a real, 4-way spanner type lug wrench. I got the lugs nuts off, put the spare on for them, and dribbled a bit of oil off his dip stick onto each lug for lubrication. They were happy and grateful.
There's a lesson in there, somewhere. I had already started using anti-sieze on lug nuts (as well as every other threaded fastener I touched, anywhere on a vehicle). This just proved why it's a good idea.
But Nick is correct. Specified torque values are for "clean, dry threads." Not rusty old threads, and certainly not threads lubricated with anti-sieze. If you can't find a specific value for lubricated threads, I generall reduce the published torque by 15% to 20%. All the vehicles I've driven for the past 50+ years have had 1/2 x 20 lug nuts. I use anti-sieze, I torque to 85 foot-pounds, and I've never stripped, sheared, or broken off a stud, and I've never had a lug nut work loose.
I ALWAYS use a lug wrench. In fact, I carry a cheap $20 Harbor Freight torque wrench and impack socket in each of my Jeeps, just in case of a flat on the road.