Every new O2 sensor I've ever seen came with a dry electrically conductive antiseize already on the threads. Not all antiseize products are conductive so make sure that is what's used on O2 sensor threads if reapplying it to reinstall the sensor.
With regards to using antiseize, just make sure to not torque bolts/nuts down to the book-listed ft-lbs. settings if you have applied antiseize to the threads. The ft-lbs. must be reduced by 20% when antiseize has been applied. This is because it lubricates the threads making it easier to achieve the same clamping force on the fastener. So if the book says to tighten the nut to 100 ft-lbs., that is a "dry" specification without antiseize. With antiseize, you'd reduce that by 20% so the correct amount to torque it to for this example would be 80 ft-lbs.
For Loctite, be careful not to use it everywhere. I use it especially on bolts that spin around... ring gear bolts, u-joint bolts, pinion shaft nuts, and bolts that hold the front hubs on, etc. Blue Loctite is for bolts you know you'll have to be removing in the future. Red Loctite is for more permanent fasteners or those you absolutely don't want backing out, like differential ring gear bolts and threaded wheel studs..
