I've known bottles to have a small amount of low strength loctite on the threads, but that only causes problems when the bottle needs to be removed.
Don't use any tape or glue of any kind, firmly screw the valve into the bottle and that's it, ready to go.
What gun are you using the bottles on, as you might need an anti-siphon tube fitted before you assemble the bottle and valve.
These are easy to fit, you screw the valve into the gun, make sure it's fully in, then get the anti-siphon tube and screw this into the protuding end of the valve (there will be a threaded hole about 8mm in diameter). Then bend the anti-siphon tube upwards, so that if the bottle was on it would more or less touch the inside of the bottle.
After all this you can screw the bottle on over the tube.
Easy !!!