Teflon tape is so thin and weak the anode rod threads will immediately cut thru it and make metal to metal contact. Tape is for sealing between threads, not insulating them. Two or three turns of tape is plenty. But use pipe dope if that makes you feel better.
What will have far more impact is whether you use a magnesium rod or an aluminum rod. A magnesium rod will give itself up much faster than an aluminum rod. I replaced an old magnesium rod with aluminum rod one time. That rod still looked almost new 3 years later using same water sources indicating it was not doing much to protect the tank. Now use nothing but OEM magnesium and replace yearly.