I wouldn't use soap. It's hygroscopic and will absorb moisture, eventually causing the threads to rust.Whenever threads are involved and there is any risk of seizure or rust, I will lubricate.
Single-action rod nuts, I use brake caliper grease. Not a ton, but it will last for ages.
Dual action, I'll add a little teflon or wax-based bike chain lube.
(As a former bike mechanic, I definitely err on the side of caution.)
Anything else, wax or soap helps.