There are lots of ways to size and lube bullets; everybody eventually settles on their own favorite!
I use the Lee sizers, and lube the bullets w/ Lee's Liquid Alox lube. It's quick, easy and effective. And, since it covers the entire bullet, bullets go thru the sizer rather easily, then I lube 'em a second time to restore what was removed in the sizing operation.
You CAN lube the bullets by sitting them in something like a pie pan and pouring melted lube over them (messy, kinda like using the Lee Liquid Alox approach), or melting lube in the pan first, then putting the bullets in. You'll want to devise some kind of "cookie cutter" tool to cut 'em out if you let them sit and cool in the pan. Or you could quickly dip each one individually and let it cool on wax paper. Unused lube can be recycled that way.
If you start w/ the lube grooves full, or pretty full, you probably won't need to relube after the sizing operation. One reason to make sure the lube groove's full w/ conventional lubes is to ensure enough can melt or be thrown out by centrifugal force to fill the gaps between the bullet and barrel. Using the Liquid Alox, there's already lube on the outer surface to perform the same job.
I think it's really a matter of preference: as long as you're not getting excessive leading, your load and lube combo are working for you...
Now there IS a matter of cleanup! The "groove only" lubes don't need much cleanup after the bullet's been loaded. The Liquid Alox lubed bullets can attract dust, dirt and pocket lint, so I've found it a good idea to wipe the lube off the exposed part of the bullet after the round is completed. (Same if you poured melted lube over bullets in a pan.) Mineral spirits on a rag make short work of that.