It just depends on your preference really. You can lube the legs aswell but it decreases tactility. Personally I lube the leaf&legs because I abhor ping of any kind(leaf ping, spring ping, you name it

) and I usually prefer my tactility on the milder side.
If you're not sure just grab a couple switches lube the legs&leafs and do a couple where you don't touch the legs&leaf. If you only have exactly the amount of switches needed for your board (and you end up disliking the milder tactility) you can either clean it or throw the "ruined" switches on some keys where you probably won't notice it(ie F6/F7/F8 or something).