Always Lubricate Skewers?
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.