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Loctite is an adhesive, and any adhesive only works properly if the surfaces are cleaned. For a steel on steel bond, Loctite 243 shouldn't be too sensitive though.
Just make sure with Loctite you tighten it immediately and then leave it. If it cures and then you break the bond, you have to take the bolt out and re-apply it.
If you want something stronger the Loctite 290 (green) is the standard.
I might try plumber tape to see how it fares!
I don't think the loctite (I'm using 243) or the threads are the problem, I keep reading that you're supposed to clean the threads when reapplying some. I'll try to find the one you mention, but that might be hard as I'm in mainland Europe.