Yes, Grease is a dust magnet - no argument! That is why when I do use grease I make sure to fully remove all of it at the end of the shooting session and re-grease with a fresh batch. In some instances, even though I need to go through the removal and re-greasing I do like the performance of it over oil on certain guns under certain circumstances.
I use different lubes for different applications on different guns. I use Rig +P grease on my 1911 rails but a light oil (Rig #2 Oil) on internal parts. On my S&W M41 I use Rig #2 oil internally but Birchwood Casey Synthetic oil on the slide rails. In Military WWll rifles I use GI Grease as per their recommendations. On my Revolvers I use a light oil that evaporates the carrier. It also depends on how cold it is, where I am, how long I will be out in the cold, etc.
At the end of the day, cleaning and lubrication of what ever your favorite products happen to be is the important thing. Having the best lubricant in the world and not using it often or properly is the worst thing.