When I was taking metallurgy classes in college, the reason given for being able to tap cast iron dry is that it has a very high percentage of carbon mixed in with the iron molecules, which acts as a lubricant when it is cut, filed, or tapped. It's also the reason that when you cut cast iron, you get all that black gunk as residue. It's mostly carbon particles (graphite).
That said, there's no real good reason not to use cutting or tapping fluid when you're tapping cast iron. It will give a smoother cut and have less chance of binding the tap or breaking it. I've been using a product called RapidTap for cutting, drilling, and tapping various kinds of metal since the late 70's, and I can personally swear by it. It works really well. You can find it at any good hardware store, Home Depot, Lowe's, or industrial hardware supply store. Just remember when you're tapping threads in a hole to back the tap off counterclockwise every revolution or two to clear the chips from the hole and to keep the tap from binding or seizing in the hole.
