I use Tamiya threadlock on the muffler bolt and nut. I apply it to the bolt, tighten it into the back half of the muffler (firmly, not too tight to risk stripping the threads). Then I apply more threadlock to the exposed threads and tighten down the nut. Then I dab on some more threadlock on top of the nut and exposed bolt threads. I also use this threadlock on the bolts that secure it to the engine.

Unlike the very thin Loctite threadlock, the Tamiya stuff is thick, almost a gel or glue-like consistancy. The muffler heat degrades it slightly, but it still holds quite well. I've never had my muffler halves loosen or separate, and never had my muffler come loose from the engine using this method.

[link=http://www3.towerhobbies.com/cgi-bin/wti0001p?&I=LXGR91&P=7]Tamiya Threadlock[/link]