Because there are moving parts, you need to lube it to prevent damage. All joysticks come pre-lubed from the factory. Wiping it off takes away from the grease, so adding more is usually a good idea.
Don’t use water-based lubricants like vaseline, petroleum jelly, etc. You need to use Silicone-based lubricants, because they are “dry,” and won’t cause your joystick to rust. Use the kind that RosserRooster linked, or Shin-Etsu G-40M, the kind used by Sanwa, or Shin Etsu G-501, the kind used by Seimitsu. One tube will likely last you a lifetime.