Sorry BDA, asleep at the wheel again. Some do have a straight spline but then they have a clip or shoulder onto which the wheel tightens -- Jags with adjustable columns are one example. Most though have a slight taper. Clean and dry are the norm for any taper fit. If you feel you must use a lube then reduce your tightening torque. Lubing a taper with one part being steel and the other aluminium is especially problematic as the aluminium "forms" to the taper. Too much torque means the aluminium "de-forms" and you could end up with the nut tightened down to the shoulder and the taper still not secure. This is where lubrication causes problems as it greatly lowers the torque required to deform the aluminium taper.
Further, aluminium on steel tapers behave differently than steel on steel tapers. Once tightened, over time the aluminium taper settles and forms to the steel taper. This may cause the nut to appear to loosen. If you keep tightening the nut, the aluminium taper will continue to settle and work its way along the steel taper until the alloy taper is ruined. The forces involved are generally too small with a steering wheel but, in other applications such as bicycle crank arms, you have to be very careful.
