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This is one of the biggest subjects of confusion in the world of yo.
This discussion will only apply to transaxle systems, like the Fireball, Raider, RBII, SaberWing and PowerSpinner type yo-yos -- this includes both plastic sleeve and sealed metal bearing systems. Fixed axles are another subject altogether. I have extremly little experiance with fixed axles so we'll only concern ourselves with trans axle yos. In fixed axles they don't use the same type of lubrication or use it in the same way.
Let's get started!
First of all: lube on a transaxle yo-yo doesn't do what you think it would. When you lube something, you expect to decrease the systems resistance. You know: that stuck or stiff hinge or that old rusty pair of pliers. But in the case of yo's, lube is applied to do the exact opposite -- increase resistance. Huh? you ask? Yes, the purpose of the lube is to increase the spin resistance of the transaxle just enough to allow the yo to respond to a wake-up. I will simply refer to this for here on as response. I.e: poor response is a yo that won't wake on command, good response is a yo that will wake on command. There is also cases of excessive response, in which to yo will return when it's not wanted to.
While we're on the subject of response and waking, let me quickly devote a few paragraphs to the subject; as there has been some misunderstanding here as well of the dynamics and sequence of events in the yo waking process.
There are several interrelated conditions or factors that coincide to wake and wind the yo. Most of these conditions/factors can be easily envisioned, observed and understood with little effort.
The first thing one does when trying to wake a sleeping/spinning yo is to tug on the string upwards, thereby taking the weight of the yo off the string. Actually this can, and is, done with sideways and even upward string orientations, but for simplicity we'll only discuss the basic downward sleeper. This action temporarily removes the string tension from between the yo and your hand, that otherwise keeps the string straight, and allows the string to bend. Understanding of this last sentence should give you a good hint as to what will be described in more detail in the remainder of this discussion.
The next three conditions now enter somewhat concurrently. One being the friction ( or lack thereof ) of the transaxle, the other being the amount of string twist and the last one being the amount of spin left on the yo -- if the spin is too slow, the first two conditions will not be realized.
Now, if the transaxle has sufficient friction on the loop of string around the yo ( Primarily a function of external lubrication, and to some degree internal lubrication for bearings, which is the main topic of discussion. ), and the string is not overly twisted so as to resist bending, and there is enough spin on the yo; the string will then begin to loosely bend and wind around the transaxle. This is the beginning of the complete wind.
What happens next is these loose loops begin to overlap to the point where they push the loops below and adjacent to them outward where the string will push into the yo's braking system. The typical braking system is the starburst pattern that have what amounts to little teeth that grip the string causing it to wind tightly to your hand. There are other braking systems such as cork and rubber, and different starburst patterns ( I contemplated experimenting with different grades of sand paper ). Either way the end result is the same: to wind the string tightly as the yo travels to your hand. There is one other very important function of the braking system: to keep the string from slipping as it unwinds when throwing the next sleeper which will rob the yo of spin. If you've ever thrown a yo to the point of wearing down the brake, you'll know exactly what I mean.
Back to lubes...
If you've gotten a transaxle yo-yo and have played for a while, you'll eventually come to a point where no matter how hard you try, the yo will not wake. This can be a great source of frustration. You'll ask yourself these questions: Is my yo defective? Did I break it somehow? What can I do to fix it? No, your yo is not defective. No, you didn't break it either. The answer to all of these questions is: lubrication.
How does lubrication fix the problem? Well, this is where we'll jump into some deep yo mechanics. Don't wory, it really isn't that hard to understand. I'll do my best to help you visualize through both graphic illustration and text as to what the yo does and how it responds to lubrication. Fortunately I've had a good forum to develop my thoughts on this subject in the alt.sport.yo-yo news group discussions on this very subject.
I'm now going to have to split this discussion into two sub catagories: one for plastic transaxles, the other for bearing transaxles. Let's start with plastic transaxles first.
PLASTIC TRANSAXLES:


If you've taken a plastic transaxle yo apart, you'll end up with essentially three pieces in your hand, four if you include the string: One yo half with the axle attached, one yo half without the axle and one cylindrical plastic piece where the string attaches.
The plastic transaxles respond slightly different to lubrication, and the type of lubrication. The reason for this is the fact that the plastic slides surface to surface on the axle, while the bearing systems pivot between the inner and outer races -- riding on balls internal to the bearing.
Since in the plastic transaxles there is a larger surface to surface contact, they respond to more viscuous (thinner) lubricant's. When two surfaces are in very close proximity, as in the case of the transaxle systems, the gap between the two surfaces will absorb and tend to hold the lighter lubricant's through a process called capilary action. Capilary action is the reason paper towels and sponges work. In both cases they have many small fibers in close proximity that together work like the gap between the transaxle and the axle.
I've found that the lighter lubes like Yomega's Brain Lube performed much better than vasolines and thicker lubes. As I pointed out above, the thinner lubricants will be quickly absorbed in the sufrace to surface gap, and the thicker lubes will not. It's kinda like taking a paper towel and throwing it on spilled water, as opposed to spilled grease. Without wiping, if you place a paper towel on a water spill, it will quickly get absorbed into the paper towel. If you place the paper towel on a clump of grease, it will sit the quite a while before it will get absorbed into the fibers.
Ok, so what kind of lubrication is best? Great question. The terse reply is: what kind of tricks are you into? The answer you give to this question will determine what lubraction will be best for your playing style. If you're into looping or Shoot-the-Moon type tricks ( I call them throwing tricks ), you'll opt for a more viscous ( thicker ) lubrication. Like Vasoline, Lip Therapy, Desitin ( Zinc Oxide ) all the way up to axle grease. If you're into string tricks, you'll go with a less viscous ( thinner ) lubrication as it will give you good sleep times, yet it will remain responsive enough to wake when you've completed the trick. The lubes in this catagory overlap somewhat with the lubes listed above, with the exception of axle grease, as the amount of the lubrication will affect the response. Example: using a small dab of Vasoline, will give a different response than hard packing the lube into the transaxle. This allows you to find a balance between good response and max sleep time. The third class of yo play is the max sleeper types, who would not use any lubrication that would slow the yo sooner than it would with lubrication -- response is not a factor in this catagory, the yo just spins till it dies.