A lubricated nut is exerting a 30% to 50% greater force on the wheel (tightness if you like) than a dry nut. Nuts don't work loose when properly torqued except in applications subject to vibration, that is why thread lock is used on brake callipers for example.
So-called copper grease is actually an antiseize compound capable of withstanding high temperatures but its lubrication properties aren't the best. Also as it contains copper particles this helps reduce electrolytic action between different metals especially on cars fitted with alloy wheels. In fact it is recommended to lightly smear the centres and mating surfaces of alloy wheels before fitting as alloys have a habit of seizing onto their hubs - as many a poor soul has had the misfortune to deal with.
Just don't slap tons of the stuff on - a light smear works just as well i fnot better.