I've just gotten into casting, and have used the Lee sizer/lube for .40 bullets. I agree that the process is a bit messy. I decided that the next mould I bought would be the "Tumble Lube" type made by Lee. So I got one for 200 grain .45 and have loaded several hundred of them. This allows me to skip the sizing step. I've shot several hundred of them now, and they work fine.
At first, I tried wiping off the Alox after I'd finished loading a batch. But it's a tad aggravating to do so, so I'm not worrying about it. A bit messy, yes, but just think of all the money you're saving by casting...
Yoosta B. Blue