It depends on what you personally think is best. I find not greasing the spindle works best for installation of crank arms that have already come loose due to insufficient torque during prior assembly. Inevitably these crank arms will click or creak after some use and require a lubricant to be sprayed into the union so it's been a wash for me anyway.

During initial assembly, I have done both and for my purposes (road riding of rolling terrain in generally dry to moderately wet roadways, no rain) I find it makes no difference. Setting the right torque has shown to be more important.

Jobst Brandt says lubricate during assembly, Campagnolo says do it dry. So it's really up to you.

http://en.wikipedia.org/wiki/Bottom_...tapered_cranks

http://sheldonbrown.com/brandt/installing-cranks.html