Am kind of with @BoltSnap on this one: would leave the DIN threads dry but clean and not use (oxygen compatible) grease on the threads as it'll just attract dirt.Only on the HP side. I don't use nitrox.
Here's a question: would you put caps on your DIN regulators for storage?
I tend to hang mine up in the garage with no cap on them, simply to allow air around the initial filters, etc. If transporting them I put a cap on them to protect the O-ring.