I have been using teflon tape on my plug threads when closing the pool in past years. I don't always get a great plug as at least one of the returns I can see tiny air bubbles with the blower still on. This has never caused a problem with my lines, however it still make me uncomfortable.
This year, I was talking about it to a plumber and he suggested trying the Blue sealers on the plug threads for a better air-tight seal. He even said that prolonged use of teflon can damage the threads of plastic threads and that could have been what was causing the tiny air bubbles in the past.
So I figured before i try it this year, I'd ask the forum for opinions and/or experiences using PVC blue thread sealer on plugs when closing the pool.