Using anti-seize compound/grease is the safest way. Most pedals and cranks are made of different metals/alloys/composites. It's a similar procedure with installing spark plugs into an aluminum head...use anti-seize or risk pulling out/gouging the aluminum threads when you dis-assemble, esp if it's been a long time.
That being said, many over the years have used automotive grease with success or even used plumbers/teflon tape. There's no such thing as using too much grease, just wipe off the excess after you tighten the pedals down...it's cheap enough to waste a little and to make sure you have max coverage on the threads. Use a q-tip or toothpick if you want to be thrifty on the grease, coat the crank threads and pedal threads and then assemble them.