Wal-Mart carries Loctite 242 in the automotive section, which will meet your bicycle needs.

Loctite make A BUNCH of different threadlockers. In simplest terms, Loctite that can be removed cold is blue in color; Loctite that requires heat for removal is red in color. For bicycles, you want something that is "medium strength;" "removable with hand tools;" and most simply, "blue." For example, the Loctite 243 mentioned earlier is the oil-resistant version of Loctite 242. If you go to an auto parts store, then you can just ask for "blue" Loctite.