Mainmech48 is right, and well-informed. Heed what he writes.
Some years back, I had a cylinder whose nipples would not budge. I plugged the back of the nipples with a bit of round toothpick, stood it on the ratchet end and filled each chamber about 1/3 full with Knock-R-Loose.
The next day, the nipples turned out with a good nipple wrench.
Knock-R-Loose is a penetrating oil designed to loosen rusted or stuck bolts --- not a condition that Dolly Parton gets when her bra strap breaks.
WD-40 will substitute as well.
I also put anti-seizing compound on the threads of nipples when assembling after cleaning. If you don't have any available, a little Crisco or olive oil will do it. Mainmech48 is right; makes diassembly much easier later.
FSCJedi: Yep, you should remove all traces of preservative from your revolver, after you get it. For many years, my standard practice with a new gun (or one new to me) is to remove all wood and plastic (when possible) and give it a thorough hosing with Gun Scrubber or Brake Cleaner.
Nearly 30 years ago, I bought a new Marlin 1895 rifle in .45-70. I removed the butt and forearm and stood it upright in a large coffee can, then set to hosing.
Wow! You wouldn't believe all the sawdust, metal filings, gunk and unidentifiable crud I later found in that coffee can. The action was considerably improved after that flushing.
You can do the same with your cap and ball revolver. Never spray solvents on wood or plastic parts. Wood finishes are damaged by solvents. Plastic melts.
MainMech48 is right about checking for burrs too. Buy a set of Swiss Needle Files. With them carefully remove any burrs from inside the frame and on parts.
HOWEVER, never touch the surfaces where the trigger meets the hammer, the notches at the base of the hammer, the top of the hand, or the ratchets on the back of the cylinder, where the hand touches.
These critical areas are very finely adjusted at the factory and no attempt to smooth them should ever be done by anyone but a qualified gunsmith. When in doubt, don't touch! It's as simple as that. Removing metal from the wrong surface can ruin your revolver in short order.