I do it each time. I don't think it's necessary but I have everything apart for cleaning so I just throw some on the o-rings. Again, I don't think it is needed but for how many kegs I clean each month (not many) it really dosen't take long.
I don't own keg lube, and I'm sure I need to invest in some. However, I've been kegging using two cornies for the last year and a half, and haven't used any lube.