Hello Chris,
Welcome to Scuba Board.
To add to what Herman said, the threads should not be lubricated. Obviously each end of the hose has o-rings. The end that attaches to the first stage has a static o-ring and does not need to be lubricated, but can be. The other end of the hose will have a swivel either for the second stage or for the SPG. These are dynamic o-rings and should be lubricated. The choice of lubricant is more dependent on the type of o-ring and the application of the regulator. Today, most people use Christo-lube and you really can't go wrong with it as it is considered compatible with all sorts of o-ring material and oxygen safe.
Now, to lube the o-ring, less is more. You need only enough grease to make the the o-ring shinny. The aforementioned Christo-lube is expensive, so use this tip from Oxyhacker, put a little grease into a small plastic bag and massage the o-ring from the outside to keep your fingers and shirt grease free and conserve the slippery white gold.
Torque, again less is more. Remember that the seal is made by the o-ring so install it by hand and add only enough torque so that it can not be removed by hand. When installing the hose to the 1st stage, simply screw it in and torque it down. The second stage and the gage require a little more care. The gage and probably the second stage will have a fitting that should be "backed up" which means held in place with another wrench so that it won't move and damage the regulator or gage. This is particularly important for plastic second stages and gages.
I know I have made it sound a lot more complicated that it really is...do not be afraid to do this your self.
c