I use marine grease (boat trailer hub bearing grease). Thick stuff. Doesn't break down. Doesn't care about water or salt, now or in the distant future. It is very thick and stays that way so nipples never spin. Main reason I use it is that the nipples can be turned without damage long into the future. (I also take a Q-tip and grease the rim's nipple seats from the tire side.) I frequently use all the old nipples replacing rims. Bad practice I know but on the second replacement, I may see 2 or 3 tired nipples. That's a rate I can live with. (In the old days, spokes came with nipples so we never actually paid for them. That's been a while. I can't see tossing a wheel's worth of nipples I'm paying a 10 spot for.)
I've never used threadlock building wheels and probably never will. Used to use Phil Wood green until I was turned on to the marine grease. 5-10 years later, the marine stuff is simply better.
Edit: I keep a tin of marine grease open on my workbench. (No, bearings do not see that grease!) A wooden tongue depressor in the tub. So grabbing a healthy dab for a wheel is really fast and easy. Likewise virtually all my other threads (except the one's I wear!
).