I apply a little grease to nipples, spokes, and around the holes on the rim. Stick to brass nipples. Never had any problem with nipples working loose.

You'll know that you're getting close to "adequate" tension when 90% of the spokes emit a shuddering noise (drive side only when working with dished wheel) when you attempt to turn the nipple. This binding can also be felt at the spoke wrench. Novice builders should not apply more than an additional 1/2 turn all the way around the wheel. Note that this rule applies to clean nipples, spokes, and rim that have a thin coat of grease at the mating surfaces.