YES, ALWAYS!! Always, always use assembly lube! And always always change the oil after an hour or so of run time. The cam may be "broke in" but unless you have the lifters and matched them up with the lobes the were broke in with you will be breaking them in. It is just good insurance to use lube.
Sorry didn't go back and read rest of the thread, did you get new lifters for it or were you reusing the old lifters from the prev cam? I ask because the cam will wear to the lifters, lifters wear to push rods, push rods wear to guides etc. When you pull the apart you always put them back, if installing a diff cam I'd suggest replacing the lifters at least. You may not have any problems, not sayin it happens every time, but do you really want to ruin your cam after puting it in? Just my 2 cents