As far as I know no grease is ever permissible in the blasting cabinet.
You should be thoroughly degreasing your parts prior to blasting.
An excellent cleaning solution is Blue Gold
http://www.bluegoldcleaners.com/cleaner.htm. It can be used at room temp. or heated in tanks. Or you could invest in an aqueous parts washer.
After blasting you would apply your rust preventative. I use Ferrocote 5856 BF
