First off, you should make sure your gun is clean and dry (and has no residual lube) in it when you load it. If the gun was loaded on a clean barrel, you do not have to unload it. Once the season starts here, I usually leave mine loaded until I shoot something. Sometimes this can be weeks, or even months. Never had an issue ever on 25+yrs of ML hunting.

Now, if its loaded on a fouled bore...you'd certainly want to unload and clean.

Since you said your pellets absorbed lube...you probably need to run an alcohol patch down your barrel, then a dry patch before loading. Your pellets should come out dry if you do unload, not saturated.