Any oil will help better than dry, except for cast iron. Specific materials do better with different lubes. Aluminum does well with WD40 or kerosene, although I normally use Crisco applied with an acid brush. Cast iron, as mentioned, is machined dry.
Steel improves when regular cutting oil is used, but there are different grades (and opinions) of that. I use Rapid Tap, which is likely similar to Tap Magic. It improves cutting action and surface finish instantly.