I did when I had pull behinds - I used reese hitch ball lube. A high temp lithium grease will do. Can get messy so watch your clothes around it. I wiped the hitch ball off when I got to my destination and put on some fresh lube before I left.
I greased mine (as NorskeNY said - didn't like metal on metal). It was a mess at times and I ruined a few jeans bumping into it. I think some small utility trailers (like U-Haul) don't grease theirs as the ball provides the ground connection for the lights.