Never anti-seize. That leaves visible residue for the lawyers/accident attorneys.
Now, cleaning the threads with a rag that might be a bit oily???
Of course, if you hate the owner, or maybe you're just mean, Lock-Tite could be fun...
Up here in the Rust Belt, lug nuts weld themselves to the studs with alarming regularity.
I've snapped studs removing the nuts with an impact, with a breaker bar, and with the ****** little tire irons they send with the car.
Then, the wheels (especially Fords) fuse themselves to the hubs. And the rear drums or discs weld themselves to the hubs, and...
Point is, rust *****.