+1 With Greywolf's Advice But With Caveat
Last week, I replaced my rear brake pads by partially (as in, removing the caliper from the bracket but keeping the brake union hose attached) removing the caliper so I can clean the underside of the caliper and re-grease (I used Versachem's synthetic brake and caliper grease) the bolts and sliding pin. I then took the opportunity to remove, clean, and spread some copper-based anti-seize on the rear axle locknut and torqued it to 60 ft-lbs (I improvised because I was using a non-Snap On torque wrench, which conventional wisdom says is the best of the best).
I marked the nut and axle with a black permanent marker and, after a week, noticed that it loosened by about 1 mm.
YMMV, but I still agree with the anti-seize suggestion.