I leave mine dry, assuming that the friction of the dry metal will hold the connection together better than a lubricated connection would. If I were in a wet climate and had rust problems, I might feel differently about it. I had an experience recently with a lug nut on my trailer where it didn't seem to be going on very well so I gave it a shot of WD-40. When I tightened it with my torque wrench, it kept turning on past the point where the other lug nuts were fully tightened, and I thought $hit, it's stripped. But about a quarter turn later, the torque wrench finally clicked, which means, I guess, that the WD-40 caused it to engage further than the other dry lug nuts. I'm not sure if this is good or bad, but I suspect the dry lug nuts (and limb bolts) give a more secure fit.