I use coolant unless. There have been a few where the gasket would fall off when trying to assemble due to design or location of the part. In those cases I use a little die electric grease to hold it all together.
I use DC4, Dow Corning 4, (die electric grease) on any oring in an auto, including the oil filter seal. DC4 is spec on aircraft engine oil filters, FWIW.