Modern, lined cables usually do not require lubrication. Here's what Sheldon Brown said:
Cable Lubrication
In the old days, before the development of plastic-lined housing, it was necessary to coat the inner cable with light grease or heavy oil.

Modern plastic-lined cables have made the use of grease inappropriate, because the viscosity of the grease makes for sluggish cable movement. This is a more critical concern with modern brake and gear systems that use weaker return springs, and with indexed shifting in general.

Many manufacturers now recommend against using any lubrication on cables. It certainly should be avoided in the case of sealed systems such as Gore-Tex ®. Bicycles used in wet conditions, however, will often benefit by the application of a bit of oil, more as a rust-preventive than as a lubricant. The area of particular concern is the short loop of housing which carries the rear derailer cable around from the chainstay to the derailer.

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http://sheldonbrown.com/cables.html