I don't unless I have to, primarily because I hate adding steps to the process. With straight wall handgun cases and carbide or nitride dies, I do not lubricate except with .500 S&W. Those huge cases require far too much leaning on the handle, so I get a little Imperial wax on my fingers and make sure to handle the cases as they go into the press. Then the sized and deprimed cases go into the tumbler for a while to get rid of the lube.
Rifle cases get essentially the same treatment, and I do make sure to get a slight bit into the necks, to ease the process and prevent stretching. They also go through the tumbling process again. You just have to check each case afterward to make sure nothing gets caught in the flash holes.