I do the same thing. Never a problem. I never put anything on the threads as it can screw up the torque readings. Doesn't matter so much on steel wheels but can play havoc with a good set of alloy wheels.I don't live in the rust belt any longer, but what always worked for me was putting a coat of antiseize on the wheel, where it contacts the hub. I would put some more if I removed the wheel, i.e., rotation, puncture,etc.