Do you put copper grease (or something else) on a freehub directly before sliding the rear sprocket on? I put a light coating on by habit when fitting just because I don't like the idea of bare metal-on-metal, and copper grease seemed right by instinct. But that instinct is from bicycles whose engines prefer refined hydrocarbons to pie'n'mash. There was nothing or a very light oil when I took the old sprocket off, but it didn't come off that easily either.
Presumably you should also put something on the threads of the lockring; I actually forgot that, but I'm minded to put a little bit of copper grease in there too next time I take it off.
The sprocket (and the chain, and one spoke in the rear wheel...) are all new. (There's a chain stretch tool now hanging up next to the bike, so hopefully the next chain change won't involve replacing a spoke.)
This question recommends any old grease, but copper grease isn't a lubricant, so this strikes me as a separate question.