No, on the teflon tape and pipe dope on there, those threads don't need it.
Look real close with a strong light and a magnifying glass, on both sides, (post and keg).
As someone mentioned, make sure you don't have the posts mixed up, (out to in, in to out) .
On the keg side, if you see a blemish or dicked up thread, you can dress it with a small, 3 corner file, and make sure to remove all the filings before you try it again.
Here's a good link for thread sizes, for the different manufacturers kegs:
http://www.dresselbrew.com/Keg_Info.htm
If on the keg side, you could always try to borrow a die of the proper size, and try to "chase" the threads, that is if the die will go down far enough, and not bottom out on the keg body before cleaning up the threads.
Good luck!