Unclenick - I did not soak the dies. I read a comment about doing that somewhere along the way but didn't see mention of it in the Lee instructions. I have noticed an oily residue on the cases after running them through the sizing dies.
Its tough to filter out the good from the bad with all the info that's out there. I saw one guy mention that you should tumble the completed rounds to clean them prior to shooting. I did some checking on that and it sounds like all manufacturers say that's a horrible idea.