Forget grease, there's no good reason for it. Just run a bit of wax across the threads. If its good enough for aerospace applications, it's good enough for your pedals.

However, if you want to feel that you're doing something special, go ahead and get a little pack of anti-seize for spark plugs from Autozone (or similar). I think they sell it for about 75cents and there's plenty to coat the threads of your pedals. It'll not only prevent rusting, but also seizing.