It isn't going to make a significant difference, BUT - With the wheels on the ground, the stub axle is loaded outwards and upwards. If unsecured it would describe an arc pivoting at the top cross tube. Taking the weight off the wheels means that they hang on the stub and try to describe an arc downwards and inwards. So ideally if you leave the wheels on, you should try to neutralise the weight by leaving them touching the ground but not with full weight. A better way is to take them off!!!!!
Wheels on and loaded means that the critical area - lower bush inner surface and lower kingpin inner surface (where all the wear takes place) is loaded meaning that grease won't easily get between. With the weight off, and no sideways bias, the grease has a chance to get down the lower bush all the way round. The reservoir will be filled lower down, so when you put the weight back on the wheels, the lower bush will rise onto the greased pin. It's also helpful to grease on full lock in both directions, but with the wheels on it's tricky.
So to summarise - optimum method is wheels off and lock to lock greasing. I might do that once a year, otherwise I just get under with the Mog jacked up - lock to lock.
