I apply a thin film of grease on the freehub body before sliding the cassette on. This isn't as a lube, but because I ride in all conditions and don't allow any dry gaps where water can wick in and get trapped.
I'm careful to make sure the cassette sprockets and spacers are dry so there's maximum friction holding them together. This helps (slightly) spread some torque load sprocket to sprocket, and might help reduce the tendency of larger sprockets to dig in the the freehub body.
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