I had a spool of this tape from a bit of plumbing work I was doing, I tried it, and it keeps the screws in.
It is clean, reversible, and lite enough to carry with you.
This is very cheap, easy to work with and you can get it any place that sells plumbing supplies.
http://en.wikipedia.org/wiki/Thread_seal_tape
Thread seal tape –commonly known as "Teflon tape", "PTFE tape" or "plumber's tape"- is a polytetrafluoroethylene (PTFE) film cut to specified widths for use in sealing pipe threads. The tape is wrapped around the exposed threads of a pipe before it is screwed into place. Since the PTFE is malleable, deformable and impermeable, it acts a little like putty under compression, being forced into small gaps between threads in order to create an air- and watertight seal when threaded into a joint.
http://www.utahbiodieselsupply.com/teflontape.php
