You can use silicon grease for both the threads and o-rings. I personally use the Nye, but I've found things like Radio Shack's lubes to be just as effective.
If you want to get technical, you should put electrically conductive grease on the threads (like Nye 758G), but it's not necessary...
Contrary to some sentiments, there are some o-rings that really do require you to keep it well lubricated, including especially, dive lights... My UKLC100 definately sees a ton of lubrication, as well as my 10X's rings and my Trek EX60...