What to watch out for when using lithium grease

OLD ANSWER (Improved below)

Graphite powder is the preferred lubricant for locks. You should be able to get it at any hardware store in a squeeze bottle that is half air, allowing you to blow it right into the keyway. You are going to have to wait a while before putting it on, as the residual WD-40 will gum it up.

EDIT: As per MrSquonk's comment below -- Try coating the key and work it in slowly. It's less messy.

LATE EDIT: Comment below edited into the answer. Please read full comment thread.

Yale USA says:

Yale® KeyMark® cylinders are lubricated from the factory with a Teflon® lubrication. Cylinders should be lubricated periodically depending upon environmental conditions and usage. LAB Lube is the approved lubricant. Caution: It is not recommended to lubricate cylinders with oil or to mix lubricants. "

LAB Lube

• Micronized polytetrafluoroethylene (PTFE) Powder

• A dry white powder lubricant that will not "cake-up" as graphite does.

• A superior friction-fighting agent

• Vegetable oil will gum up, attract dirt and dust, and eventually end up a huge mess. DO NOT use it.
• Mineral oil is a food-safe oil not normally used as a cooking lubricant, but it is the go-to for replenishing woods and lubricating mechanical parts of cooking utensils. It won't gum up, and is OK to use in a pinch.
• Most machine oils are a bit thin; they'll get into crevices like in door hinges, but they're lighter-weight and more volatile, and will eventually evaporate or work their way back out.
• Silicone sprays are great for metal-on-metal, but they are incompatible with some plastics, so read the label carefully.
• If you can take the mechanism apart without destroying it, I would recommend a silicone grease out of a tube, such as Dow-33 (available under many different brand names; you'll most likely find it as a pneumatic tool lube because it doesn't hurt o-rings). It is nonreactive with virtually all construction plastics and with metals, and is a thick-ish grease which stays where it's put. A little dab'll do ya. Only trouble is you have to be able to apply it directly to the surface to be lubricated; it doesn't wick into crevices like an oil or spray lube.