A method comprises inserting the fuel rod (4) through the spacer grids (14) aligned along an assembling axis (A) with passing the fuel rod (4) through a lubrication chamber (30) aligned with the spacer grids (14) such that the lubrication chamber (30) is passed through by the fuel rod (4) before the insertion of the fuel rod (4) through one of the spacer grids (14), and circulating a lubrication fluid containing a gas and a lubricant in gaseous phase and/or mist form in the lubrication chamber (30). The lubrication fluid is injected in the lubrication chamber (30) at a temperature strictly higher than ambient temperature, such that lubricant deposits or condensates in liquid phase with forming a lubricant film on an external surface of the fuel rod (4) that is being inserted through said one of the spacer grids (14).