I have heard that if you put grease or anti-seize compound on your wheel mounting studs, it will make the threads on the lug nuts stretch, requiring replacement of them.
That’s ridiculous, stretched lug nuts! No. If you want to facilitate removing the wheels, especially when operating in conditions were salt is present (as in northern states or near the ocean), it is prudent to use anti-seize compound on the threads and the mating surfaces where the steelnut seats against the alloy wheel. This will keep the nut from galling the rim, as well as having a chemical reaction between a lug and rim that welds the nut to the rim. Remember that using a lubricant also increases torque values, so you should back off on the torque specs just a bit to compensate.