This is a good article on when to use grease and when to use threadlock
http://www.pinkbike.com/news/Tech-Tuesday-Thread-locker-Basics-2011.html
Edit: In summary…
Where to not use thread locker: Although blue thread locker can be put to use on many places, there are some where it shouldn’t be applied. It should be avoided when working with titanium bolts, especially when they are being threaded into a dissimilar metal, such as steel or aluminum. Anti-seize is your best bet here because it will prevent galvanization, allowing you to easily remove the fastener down the road. We would also recommend that you skip using Loctite on aluminum bolts as well for the same reason, but it can also make removing fragile aluminum hardware difficult, leading to rounded or broken off heads. Here are some other places that shouldn’t see thread locker:
• Chain ring bolts, especially aluminum versions (use grease to allow you to loosen them later on)
• Most crank set bolts (grease used here allows it to attain the proper torque)
• Pedal threads (pedals won’t loosen due to their reverse threading, but using grease will eliminate creaks and make them easier to remove)
• Axle threads on either front or rear thru-axles (grease here prevents the two aluminum surfaces from galling)
• Any small hardware that hasn’t repeatedly loosened (M3 sized bolts or smaller, such as those used to attach the adjustment dials of a fork. Using thick grease here will prevent loosening and make them easier to remove)