^^^ Yeppers, Tape or Dope. Anything but Nothing. It'll make contact, work, not leak, and you'll be able to get it out the next time. Those concerned about water purity might like tape better or perhaps there's a "food safe" dope.
From my own experience, and other threads here, install the new one with a socket and extension. Use tape/cardboard/paper to make the Anode Rod an extension of the extension... so it all lines up. Then contact the threads and turn backwards till you feel the Anode's thread drop into the Tank's thread. Then go forward and it doesn't have to be all that tight.