Steel is for waterfowl unless you are hunting on some public lands that require steel for all bird hunting (california comes to mind) I use regular grease on the threads of my choke tubes.
This is a common misconception. There hasn't been a steel shot requirement. The regulations prohibited the use of lead shoot, and steel shot is one way of meeting the lead-free requirement. It may be the cheapest lead-free shot, but it is far from being the best performing.
IINM, the CA lead-free requirement is for ammunition used within the Condor Range