Glad nothing more untoward happened, a wheel parting company can become a lethal missile.
Is this with standard steel rims, or alloys? I've never had a wheel come loose on the Defender nor on any of my previous Rangies, but I had it happen twice back in my Land Cruiser days, once lost a wheel and once caught it before the nuts parted company completely. From what I've read it's not uncommon with those vehicles.
I've never lubricated the threads on wheel fasteners. I either loctite or anti-seize almost every other thread I ever touch.
I destroyed the factory wheel wrench in my Jag trying to undo the wheel nuts after it had been serviced by an otherwise excellent mechanic. Very annoying. The tyre-fitters at the last couple of places I have bought tyres (and I generally consider that as a job for between prison terms) use a rattle gun to install the wheel, then go asround and crack them all and retighten with a torque wrench.

