I asked someone I know who shoots cowboy / single action:

Lead bullets need a lube of some sort. An old way is dipping them in alox and letting them dry. There are molds for this without lube grooves. Bullets with lube grooves have the groove filled with a more solid wax lube, 50/50 mixture of alox and beeswax is common, during the sizing process with a lubersizer. I use a hard line which needs a heater under the lubersizer to heat it to flow - hard lube is not sticky to handle and stays in the groove better when stored. I personally use thompson blue angel for my .45 Colt (Lee 255gr LFP) and .45acp (Lyman 200gr 068 LSWC).