AFAIK, Engine assembly bolts should be torqued while lightly oiled. This would be head studs, rod bolts and the like, but lug nuts are dry. I put grease or anti seize on my lug nuts but have to be careful with the torque or they might snap.
You have to be careful with nuts on stainless too, because they have a tendency to gall if the threads are tight.
Also, don't use aluminum based anti-seize on stainless because aluminum and stainless react. So, anti-seize becomes seize. Use the copper based stuff or just straight grease. Never screw a stainless bolt into aluminum as a permanent fastener unless you use some kind of grease or teflon paste. No-lox electrical grease is great for this. Out in the weather, stainless screws can seize and strip the aluminum threads out when removed. This is the problem with boat hardware and outboard motors.