No, I do not lube mine and haven't really ever thought about doing it. What brand dies are you using? I use dillon and while it can be difficult to extract (nothing lately that I remember), it has never broke or bothered me.
I'd suggest using mica or graphite if you want to lube it. Grease or case lube may give you a mess with powder sticking to the funnel. Just remember that brass is used as wear bushings in some applications, so you won't wear out the funnel.
Are you cleaning (tumbling) the cases before loading them?
PS- cheap graphite from a lead pencil - just scribble it on to see if it helps.