When threading a metal part into another metal part, I use whatever grease I have within arm's reach. Sometimes it's my tub of red high temp bearing grease, sometimes it's moly, sometimes it's Phil Wood waterproof grease, whatever. I've found that the parts generally don't care what the flavor is. By and large, the purpose is to prevent corrosion and galling and any generic.grease will do that.
Things get a little more interesting when you're dealing with high heat (something you won't encounter on a bicycle, think vehicle exhaust) or carbon fiber but most metals, to my knowledge, will roll with anything you slather on it.