Are you using Lee Alox lube?
If so, you are supposed to lube with a light coat, allow to dry and size with the push through sizer.
Then, apply another coat, allow to dry and load.
I do use the Lee die with pan lubed bullets as well.
With non-gas checked bullets, I pan lube and then size with the Lee push through and I'm done.
With gas checked bullets, I will spray the bullets with a little bit of liquid case lube, and size upside down, applying the gas checks. Then I pan lube the gas checked bullets.
Hope this helps.