I haven't used anti-seize, but it sounds like a good idea. I use more conventional lubricant such as oil or grease, depending on what is closest in reach.

I aim to build a wheel that doesn't need touch up after a little riding.

I agree that penetrating oil is a good thing when I am about to work on an old wheel, especially where the nipples are reluctant to turn. It can, at times, be a very good thing, making the difference between a trashed wheel and a wheel ready to get back on the road for another many years.