Really? I've been doing that since I was a teenager... I've only ever had one wheel loosen, and that was one I had never touched. Blame the local tire shop for that one.
Having gone through the OP's problem on a few cars that my kids dragged home over the years, I continue to put just a little dab of anti-seize on the lug nut. I also re-tighten the lug nuts after driving it the first couple of days and I tighten by hand, only depending on my impact to spin the nut on. Keep in mind that my daily drivers are immersed in a salt bath that I like to call "nature's lock-tite".