If you want to get really fancy and you can find it, try some of the copper or stainless steel teflon tapes. I have tried both and can't realy say they are any better than the pink or white tape. The copper and stainless tapes are rated for very high temps and presures. Cost more than the others too.

That said I've gone back to just grease. Try to find a high temp type of grease, the synthetics seam to work better than the petrolium greases do. I've used White's blue grease for years but now I'm using some Amsoil polymer food grade grease and it is realy good. Best part about the food grade grease is you can put it on your sanwiches if you run out of mayo.