Beane,
I, too, have had Speedplay Zeros for a long time - same cleats, same pedals and I know I have more than 4000 miles on them. In fact, I probably have closer to 5000. I lube the cleats once in a while and make sure the pedals get lubed every now and then - though I do not do it as often as the LBS recommends.
Regarding the cleat covers - my LBS said I absolutely HAD to use them every time I got off the bike. I did that religiously until I forgot them on a trip to CO. I figured the cleats were close to needing replacement so I went without covers (Note: I did not - and never have - walked in mud with them.). I have not used the covers since (probably 2000 miles of riding) and the cleats are still going strong, though they don't look very pretty. I keep them clean and use dry lube every few rides - no problems at all. When I replace them I will get new zeros - love 'em love 'em love 'em!
"When I'm on my bike I forget about things like age. I just have fun." Kathy Sessler
2006 Independent Fabrication Custom Ti Crown Jewel (Road, though she has been known to go just about anywhere)/Specialized Jett