Most people will recommend what they feel best about, but plain 10 wt motor oil is fine for the ways and the cross slide lead screw. Something like Zoom oil from the hardware store will do fine too. If you only have 3 in 1 right now, use it.
10 wt is what Taig recommends.
I wouldn't use grease on the screw. It will hold swarf like a magnet.
For most types of brass, no lube is needed.
For aluminum, WD-40 or kerosene.
For steel, most brands of cutting oil will do fine. Tap Magic works well and doesn't stink. You only need a little, what ever you use.
If you keep your tools sharp, you don't need lube for most steels at the rate the Taig lathe can cut.
Dean
http://tinyurl.com/DeansProjects