I use the greasy kind of grease.
Walmart has it fairly cheap ...cheep, cheep, cheep.
Seriously, it is only to prevent the threads from rusting together and there is little/no chance of it melting out of there or burning and having the chokes heat-rust in place.
I happen to have extended choke tubes, each time I put the gun together I check that they are free, then finger tighten them - done and done.
The only other thing is when I change them to/from skeet/full, again hand tightened.
They never get wiped off because I keep them in a fisherman's type tackle case, I don't wipe out the barrel threads either.
There is some engineering data around a truck forum somewhere on the tightening of threaded components and the extreme torque needed to squeeze out oils/greases - basically you just about strip the threads before you exceed the film strength.
Over tightening of threaded components is a sin I have committed SO MANY TIMES - - I'm in recovery now.