On parts that you don't want to come loose, yet eventually want to take off without much hassle, there is a loctite product I've used with a lot of success. It's Loctitie 592. It's call a pipe sealant or thread sealant.
I wouldn't use it on lug nuts as others have said already. And I'm not sure how well it works on high temperature locations within the TDI. It is listed to perform up to 400 degrees F. I don't know how hot those parts in the TDI get. It is listed to withstand 10,000 psi which is pretty high.
There are a series of Loctite thread sealers, I find a nice selection and description in the McMaster-Carr catolog. Great catolog for lots of things, their phone number is 732 329 3200.
dj