I would also lean toward blue for most gun applications.I suggest looking for the stick type.Sort of a waxy gel to apply.
I recall a customer coming into a LGS with a 10-22 that had issues.Firing pin was stuck or the bolt was stuck or something.The customer had squirted a little Loctite in the drilled/tapped holes in the top of the receiver.They are through holes.Those little tubes of Loctite have a way of belching out a little more than you need.The gel sticks,IMO,are nice.
The frame screws on my Super Blackhawk tended to loosen.Good place for blue.
When I do my own shade tree mechanic work,pretty much no threads go together dry.I put anti-seize or Loctite on about everything,depending on application.
But,yeah,moving on up to the stronger or higher temp loctites can be regrettable come time for disassembly.Don't forget battering a pin head driving it makes the diameter grow.Buggered screw slots or broken screw heads are no fun.And once it gets screwed up,well,you may learn why you friendly local gunsmith is crotchety when you bring it to him.