Back when I started shooting cap-n-ball revolvers, there was no question, no choice... I put the grease over the ball on top of each loaded chamber. I really don't remember any (manufactured) lubed wads being available at all--at least in my area. I know when they first came out, they were prohibitively expensive (at least on my meager wages), AND I also didn't want another store-bought item to have to rely on...
I have used both methods separately, AND together in some instances. Of course when I do use the lubed felt wads, I usually make my own, however; I do prefer the loose lube/grease option, and though it is a bit messy, I think it does a better job of lubing the projectiles. Shooting cap-n-ball guns is a messy activity anyway--so why should a little more mess be an issue?
The subject of chainfires and which option works better is often times an arguable subject. Based on LOTS of data (and personal experience)--good prevention uses properly fitting pure lead balls and the correct size of percussion caps. After that though, it's still a matter of personsl preference between using wads and loose lube.
I'm going to let some others explain the benefits and detriments of the two options, as there are some factors that may make one, or the other, a more suitable choice in your area or climate.
Regards, and shoot safely,
WV_Hillbilly
PS Oh and BTW... Welcome aboard!!!