It is very much recommended to use lube with chastity cages, especially when trying to pull the scrotum, testicles and penis through the ring. Lube makes everything slipperier and easier to maneuver. Also, even though most chastity devices are designed to be smooth and seam-free on the inside, lube prevents chafing and irritation as well. Never use silicone lube with silicone sex toys, since that's a good way to damage the surface.