Are you running stock rims?
If you run after market rims and the center bore is bigger than your hub - that's a big possibility for lug nuts to get loose. If the center bore of after market rims don't match the OEM rim specs, regardless of how much you torque your lug nuts - they'll always get loose. The weight of the vehicle is on the center bore of the rim, not on the studs. Studs are just used to keep the wheel in place.
Also, once I tried to put grease on my studs and my mechanic told me to don't do that. I watched video where people proved when you use any kind of grease or anti-seize it helps to over torque that nut or bolt.