Unless you are trying to remove metal, shavings are NEVER a good thing. Running a slide dry or even with oil is a mistake. Grease is a must, even on slides with small points of contact, like polymer frames with aluminum or steel slides. Depending on the amount of clearance, the coating of grease required can either be fairly thick to very thin. Any grease is better than no grease at all, but I like the tacky red grease Brian Enos sells. My standard MOO is to put a coating on both slide and frame, assemble the two, run the slide all the way back and forward a few times, then wipe off any extra.
Additional info: On very precisely matched slides and frames, good oil may be sufficient, but you should check with the manufacturer to see what they recommend. Dissimilar metals such as stainless on aluminum, aluminum on steel or even stainless on stainless steel add extra lubrication properties to prevent galling that oil just can not prevent, at least effectively. Stainless has improved over the years, but is still well known for galling. This also applies to barrels using bushings, especially of different composition, such as brass bushings with steel barrels. Grease can be messy though, so make sure to wipe off excess to avoid staining clothes or holsters. Also, grease will trap dirt, so make sure to clean your gun after each use and re-grease, even if you didn't shoot enough to warrant a thorough cleaning.
Additional info: On very precisely matched slides and frames, good oil may be sufficient, but you should check with the manufacturer to see what they recommend. Dissimilar metals such as stainless on aluminum, aluminum on steel or even stainless on stainless steel add extra lubrication properties to prevent galling that oil just can not prevent, at least effectively. Stainless has improved over the years, but is still well known for galling. This also applies to barrels using bushings, especially of different composition, such as brass bushings with steel barrels. Grease can be messy though, so make sure to wipe off excess to avoid staining clothes or holsters. Also, grease will trap dirt, so make sure to clean your gun after each use and re-grease, even if you didn't shoot enough to warrant a thorough cleaning.