As a small update to this...
The latest Porsche Club GB mag dropped through the letterbox today, and within is contains an article on the Do's and Don't of lubricants on wheel bolts etc, according to Porsche AG.
Now, I appreciate this isn't Audi..but the basics are the same...and if the wheels are likely to come off an Audi, they will a Porsche, in the same way.
Wheels bolts are all the same size and thread incidentally.
According to Porsche you should use a lubricant - they suggest an 'alloy heavy' lubricating grease along the same lines as Copaslip, but silver in colour, and carrying a Porsche part number (priced accordingly!!)
This should be applied to the hubs to prevent galvanic corrosion.
Also:
The threaded portion of the wheel bolts, to prevent the bolts from corroding solid in the threads...
The non threaded portion of the wheel bolt between the threads and the conical washer under the hex, to prevent corrosion again...
The flat portion at the top of the conical washer directly under the hex, to ensure the hex turns freely and doesn't bind on the washer...
It also states that you should NOT lubricate the seating portion of the conical washer where it seats against the hardened metal seat in the allow wheel.
I see no reason why Audi/VW etc would be any different.