The issue with anti-seize or any other lube on lug studs is that on closed end lug nuts, any kind of lube has a tendacy to get squeezed out of the threads and build up on the top of the stud. It then gets trapped under the end of the nut, and can cause a hydraulic lock situation. The nut will "tighten up", but in actuality, it won't be properly seated nor at the correct torque. Most tire shops will not apply any kind of lube to lug stud for this very reason.
A suggestion on using an impact gun, turn it down to one of it's lower settings, the second from lowest usually works well, depending on the gun. Don't hammer on it, just a bit past snug. Then finish with a torque wrench. Personally, I use torque sticks, but those are rather expensive for the average guy who doesn't work on cars for a living. I do, so I could justify it.
One more thing, some of the newer guns on the market can exeed 750-900 ft/lbs, so be carefull.
