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I recently bought a new Colt 1911 Government Model XSE stainless. I was going to take it to the range for the first time tonight. Do I need to clean it before I use it the first time?
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It's a new gun, so yes you need to clean it and properly lubricate before you fire it.
I'm not aware of any mass-produced firearm that comes properly cleaned and lubed from the factory. Even if they were, there's a good chance lubrication would evaporate away or be wiped away through handling prior to the sale.
Any grease you see on a new firearm is likely to be a preservative to prevent rust - not lubrication.
By the way, I hope you enjoy your stainless Government XSE! I have the exact same pistol, and it's fantastic - 100% reliable so far and very accurate.