My torque wrench specifies that it should be zeroed out before storing.
You shouldn't ever lubricate the threads.
From tirerack.com:
Under- or over-tightening wheel-attaching hardware can be damaging and dangerous.
Torque specifications are for dry threads only. The fastener threads should be free of oil, dirt, grit, corrosion, etc. The hardware should turn freely without binding when tightened by hand. It is important NOT to lubricate hardware threads or seats. The friction at which torque is measured against should come from the hardware seats. Lubricating hardware threads and seats alters the friction generated at the lug seat which will result in inaccurate torque readings and/or over-torqueing of the hardware.