Grease, or better yet anti-seize, on the cotters themselves is a good idea. However you want the spindle and the spindle bore through the crank to be as clean and dry as possible.

From the Bikesmith Cotter Press page;

Installation

Installed properly, there should be enough friction between the spindle and bore to eliminate movement. The cotter will only be loaded in compression, evenly across the face, and be easily removed.

Without this friction, the only thing resisting movement will be the relatively soft cotter, loaded in shear. When you see grooves across the cotter face, either the cotter wasn't tight enough, there was grease between the spindle and the bore or both.

1. Avoid chromed spindles. Sandblasting or sandpaper can help if you don't have a choice.

2. Make sure spindle and spindle bore are clean and dry.

3. Use anti-seize or grease on cotter.

4. Install FIRMLY with a cotter press. As you tighten the cotter, the wrench will move smoothly and with gradually increasing resistance, till you get to a point where force required to move the wrench suddenly increases. That's when you stop.

When installing cotters, I suggest holding your wrench with your thumb near the bolt head, to keep you from applying too much leverage. This tool is so powerful that one fellow mushroomed the fat end of a cotter.

Years after tourists had alloy cotterless cranks, many racers were still using the more reliable (when installed properly) cottered cranks.