ORIGINAL: ChuckW
The hight temperature RTV silicone works good. It is generally orange in color and you can get it at most auto parts stores. It can be some messy, ugly stuff though so I would use it sparingly.
I've had mixed success with blue Loktite on exhaust systems. It is a great product and I use it religiously on airplanes but it is designed to soften with heat so it doesn't always work well on some muffler applications.
I've got to third or fourth the High Temperature RTV.
I am really opposed to any locktite on an engine. Yes, it will hold the bolt. It will be more difficult to remove the bolt at a later day. Once you remove the bolt, there is a large amount of residual left in both the male and female threads. This can lead to cross threading as it is difficult to tell if the screw is started straight. Ditto using a tap to clean the threads. The High Temp RTV doesn't pose this problem.
I fly almost all four strokes, so the loose muffler is always something to worry about. I've yet to see one come loose that had the High Temp RTV used. As pointed out above, it doesn't take much. Use it like pipe thread compound. One other thing is to use proper fitting wrenches, no vise grips or channel lock pilers.
Don