I've read that somewhere, although I think it would become more important on the power bulbs than it would be for say a stock mag bulb.
And the reasoning I believe is that the oil on your hand can bake onto the surface creating a micro thin thermal insulator, that probably doesn't make much of a difference in heat, but since it heats quicker and cools slower than the surrounding glass it apparently can cause a failure.
I would guess that the bulbs and the glass are designed to take a little stress from heat so I don't know how critical this might be.
personally I adjusted the focus on my 1185 bulb with direct contact (to center it in the reflector) and didn't worry about it. I've had that bulb for months with no problems, but it isn't the biggest brightest bulb out there and i'm not over-driving it by much.
But, hey why not do it just to be sure, and then no worries, just wet a paper towel with isopropal and wipe it off.