Do not use thread locker, it is unnecessary and will complicate later removal. Grease the threads and also grease the outside of the wedge (the silver part at the bottom) and the part of the stem which inserts into the steerer. This is to help prevent the stem from freezing into the steerer, a common problem with quill stems, especially where the stem and steerer are different metals, like steel and aluminum. Also grease the clamp bolt for the handlebars but DON'T grease the part of the clamp where the bars go. As a matter of course greasing any threaded fastener is a good idea. It will help both tightening and also loosening them and help prevent seizing due to corrosion.
EDIT: Also be careful not to insert the stem all of the way into the steerer; the inside tapers down at the bottom and it will not be securely held if it is clamped in the tapered section. Scroll down to the "Too low, Danger!" section of this page for a picture:
http://sheldonbrown.com/handsup.html...-compatibility