I know it doesn't apply here, bit I have to say this after seeing a regulator explode:
Do not ever, ever use any sealant, tape, or any kind of hydrocarbon (oil, grease, etc.) anywhere near a fitting on an Oxygen tank. The high pressure will cause those items to combust through dieseling.
IMHO, I don't use any sealant on any high pressure gas fittings. Just tighten them up and spray with soapy water to see if you have a leak.