Not that I am a qualified expert, but I just read an article in Bicycling Magazine that agreed with Klein. It said that when you finish a ride you should wipe or clean the chain, lube the chain, wipe off the excess, and then let the lube dry. This method is preferred over lubing the chain just before you go for a ride, as so many people do.
The purpose of the first method is to give the lube time to really work its way into the metal of the chain, and to allow an extra lube that is still on there to evaporate. The other problem is that riding with a freshly lubed chain will cause dirt to collect.