I believe grease is the right thing to use. I'd wipe the threads clean with a rag, lightly grease the threads, and be sure to start screwing the pedals in with your fingers so you can feel that it's screwing in and not cross threading. Cross threading the pedals will definitely screw things up! You don't want to do that cuz then you may need new cranks. The cranks are usually softer aluminum. You don't need antisieze if you tighten the pedals with the proper amount of torque - in the neighborhood of 300 in-lbs. Using the proper torque is a better solution than gluing the threads with antisieze.