I have a habit of putting a drop of TriFlow on each nipple when I service my bikes, which might be 2X year. It may well be unnecessary, but my bikes get ridden in rain and put away wet, so I figure it can't hurt.

When building wheels, I use grease on the spoke threads and on the eyelet where the nipple sits. I also have gotten in the habit of holding the spoke when rotating the nipple, to feel for windup, and turning the nipple 1/4 turn more and then backing off that 1/4 turn, in hopes of removing windup. I haven't, so far, had problems with spokes loosening. But my wheels don't see particularly tough duty either. And I mostly build on newer rims, Open Pros being my go-to, so I can use pretty high tension. I have one bike with old, soft Fiamme Ergal rims, and the jury is still out on whether I've been able to build those adequately.