I think it depends on what your personal preference is. Some people will tell you that the longer you wait before lubing your cube, the better it will be. Some guys will tell you to make your cube as tight as possible and then just play with it for a few weeks, then lube it. Any way is fine, however in my experience, I have found no difference whether you lube it right away or wait a while to lube. Usually what I do is put the cube together just so that it holds itself together without popping. I'll twist it like that for a few minutes maybe, but it's not even necessary to do that. Then I'll lube all the pieces, let it dry for about 10 minutes, then put it back together. Now I tighten the cube until I'm satisfied with how it feels. Also, I have had the sticky feeling with certain brands of lubricant. I highly recommend using CRC Heavy Duty Silicone. Your cube won't feel sticky, it lasts for a long time, and it is by far the best brand of lubricant I have found to use.