Why? Always copper grease wheel bolts!
I'm not saying you can't (lightly copper grease them) but I was always told that they are designed to be non-lubricated. In the absence of Chip, I'll leave this lengthy and highly interesting post here;
"Wheel bolts should (generally) be installed dry.
The design intent of bolted fasteners is that they should develop clamping force. This means that the bolt is in tension, and the joint is placed in corresponding compression.
When you apply torque to a fastener, most of this effort is spent in overcoming the friction beneath the rotating head of the fastener, and the friction in the sliding threads. Only a little effort is actually expended in tensioning the fastener.
The relationship between the torque you apply and the tension you achieve is, therefore, strongly influenced by the condition of these sliding surfaces, and by greasing them, you will obtain much more tension in the fastener than was designed for.
This extra tension can be enough to strip the threads, to damage the fastener, or to damage the component being secured. If the joint has been well designed, the shank of the fastener will snap first, before thread stripping or component damage, but, not all bolted joints are well designed.
This dependence on friction to determine how torque tightening produces fastener tension is why torque tightening is quite a poor method of installing fasteners. Torque tightening is popular because it's quick and easy. Even with the best torque tools and highly trained fitters, the scatter in bolt tension between a population of bolts is quite wide. For more critical fasteners on cars, a torque plus angle specification is usually given which gives much more accurate tensioning, and which usually makes much more efficient use of the fastener material.
Incidentally, the joint face between the wheel and hub should also remain dry - this face is, effectively, a clutch face transmitting drive and braking torque between the hub and wheel. This torque should be transmitted by the friction, and not by shearing the bolts.
The bottom line is that all safety critical fasteners should be tightened by following the manufacturer's specification, with no ad-hoc modification."
Although I disagree with not copper greasing the hub to wheel face. I always grease that as it becomes a turd to get off, much like the OP's problem.
