It's fine, I have always some multipurpose lubricant on the threads, I also put antiseize on the top of the rotor to prevent the rim from seizing and making removal easy. I always torque my lugnuts to 95 ft-lbs. A lot of people don't even bother using a torque wrench to put an even clamping load, probably the most important thing you can do. Ummm, my way lasts for legs of stage rallys, and I have never had a problem of loose lugnuts after 5k miles.
Keep in mind like somebody said it is a little, just a coating. I have also use antiseize on threads, works just as well