Always Lubricate Skewers? I'm replacing the quick release skewers on my bike with allen key skewers for a little security. 

Clearly the old skewers were well greased and it sounds pretty standard to grease them. There are plenty of forum posts at a google search but I thought it would be useful to ask here. 

Is there any chance I shouldn't lubricate the skewers? There is no indication on the package that this is necessary. 

What lubricant should I use? 

What exctly is the lubricatant for? All of the rotation should be handled by the hub, there shouldn't be any rotating friction on the skewers themselves right? 

Thanks!
This is really a personal preference. Usually people will grease the skewer threads and sometimes the skewer shaft as a way to help prevent seizing and corrosion. This can be especially useful if the skewer is made from cheap steel and/or the bike is frequently ridden or lives in wet conditions. 

Sometimes skewer shafts are chromed, in this case I wouldn't bother to grease if the chrome is intact as it will prevent corrosion. 

If the bike rarely sees inclement weather (e.g., fair weather and stored indoors) then I wouldn't bother at all.

If you do want to grease the skewer, standard lithium grease should be fine.