JackinWorld recommends that you masturbate with some kind of lubrication.
It's certainly possible to masturbate safely "dry" (with no lube), but if you're inexperienced, have vigorous technique, or go for a long time it's pretty easy to chafe yourself. However, avoid using soap or shampoo as a lube. When applied with fervor to such a sensitive body part, some kinds of soap and shampoo can have a reaction where the skin gets extremely dried out. We've received numerous "PLEASE HELP!" letters from guys who tell us their penis skin has suddenly turned leathery and cracked, or the skin has begun massively peeling. Although it eventually heals, it can be scary, and we don't want you going through that.
So what is a safe lube? Certainly any commercially available personal lubricant, some of which are sold in stores and some by mail order. Baby oil, mineral oil, Vaseline petroleum jelly, and even cooking oil are safe. (But never use an oil-based lube with a condom – it will cause it to weaken and break.) Also any kind of skin lotion, such as Lubriderm, is safe. It's generally safe if it's made to be applied to the skin and it's gentle. (Most soaps and shampoos are not very gentle – see #2.) And pretty much anything that's safe to eat is safe to apply externally.