I normally use grease on the tapers, but the last couple of bikes I've restored I've put some Teflon tape on the spindle. I haven't noticed a difference. The right amount of torque on the crank bolts is the important part.

*Edit* - I just re-read the OP and saw you were asking about threads. If it's threaded I grease it. That's how I roll. Grease never hurt nothin'.