I do a couple of things. If the surfaces are rusty, wire brush off the surfaces of the pilot (the center thing) when the wheels come off. Aluminum wheels, just use a scotchbrite pad and maybe a little soap. Steel wheels use the wire brush. Hit the hubs and backside of the steel wheels with a solvent to degrease them. Brake-clean or lacquer thinner. Light (!) coat of paint masking off the stud threads. Be sure to let it dry thoroughly! A little anti-seize on the inside of the wheel pilot hole and re-mount.
If you rotate the tires regularly they should come off fairly easily. Some cars, however, just fit tighter and will give you more guff getting them off. Wire brushing will wear the parts a bit making it a bit easier as time goes on but a good anti-seize (I like the copper-based stuff) is about the best you can do.