Haha, good question! I'm not voting, because I can't say for a fact that it works, but it's something that I always do, and always have done.
The amount of swarf that gets left behind in the water when I wash my pellets is enough to convince me to keep doing it.
I'd be interested to hear what others think though- and what lubes you use. Personally, for my precharged guns, I use 2 or 3 drops of 3in1 type oil per tin, and for my springer, a light spray of wax based furniture polish.