I use a stiff and sticky (stringy) grease. It's stickiness is enough to keep nipples from turning if slack (which they never are anyway) and makes a good lube minimizing spoke twist which is important to me because I use light spokes.

When you build the rear wheel pre-tighten and align it too far to the right, almost directly over the right flange, then tighten the left spokes to correct the dish back to center as you come up to final tension. This will minimize the torque needed on the tight right side nipples and reduce the chances of rounding one off.

As others mentioned use a 4-sided spoke wrench when the tension gets high to protect the nipples. If you do find you have to work on a tight nipple and are concerned about possibly rounding it off, you can use a cut down broom handle (or equivalent) to lever the rim over a bit toward the spoke you're working on to ease the tension. You shouldn't need to do this on a new build, but I've found it handy in re-alignment later on.