Take a bow, you are a better man than I. Last time I tried removing cotters I tried everything, hammer, press, penetrating oil and heat, nothing. Now I just leave them and my bottom bracket maintenance consists of three or four squirts of oil from an oil can down the seat tube every once in a while (about the same time I oil the SA hub) until the excess oil leaks out the BB.
But yes definitely grease the pin! When I worked as a wrench, the master mechanic insisted on grease. A cotter is an interference fit and grease makes the interference fit stronger, helps prevent galling from metal on metal contact and of course makes it easier to get out because you don't have to apply as much pressure to a lubricated interference fit to get it to hold.
Il faut de l'audace, encore de l'audace, toujours de l'audace
1980 3Rensho-- 1975 Raleigh Sprite 3spd
1990s Raleigh M20 MTB--2007 Windsor Hour (track)
1988 Ducati 750 F1