In general, apply an anti-seize compound to threads of bolts that need periodic removing, particularly in the case of steel bolts threaded into an aluminum casting, and bolts that experience extreme temperature fluctuations such as engine side covers and exhaust mounts.
Often referred to by the brand name "Loctite," thread locking/retaining compound is used less often than anti-seize, and mostly on parts that experience intense vibration. Any screw, nut, or bolt that needs an extra level of security and will not require periodic removing is a good candidate for Loctite. There are several varieties (colors) of Loctite intended for different situations; in we generally like the blue flavor.