at the contact areas with the rotor face plate. Not too much because I don't want it to melt under braking and get on the rotors. Just enough to inhibit the rim and the rotor face rusting together.
Also, I put a small dab of anti-seize on every lug before re-tightening. It makes future work a breeze.
P.S. this is not advice. Just what I've done to combat situations like you described.