With what material should I fix a creaking sound on one of the pedals?
Don't ride before servicing thos-e pedals. A poorly greased or loose pedal will ruin the thread of the crank or may even cause breakage of the pedal axle. A correctly tightened but non-greased pedal thread may cause the threads to fuse.

You should remove both pedals, clean the threads and the crank arms, apply grease and thread them back in. In case you own a torque wrench the tightening torque ranges normally from 35-40 Nm.

Remember that the right pedal unscrews counter-clockwise and for the left pedal it is clockwise.

Grease: chain lube isn't adequate because it contains a large proportion of volatile components. WD-40 is an absolute no-go, it isn't grease. White cycle grease is best this case, it is generally available in smaller portions. You should apply the grease to the threads of the pedal and screw them in by hand for the first turns. It should fit in easily without the use of a tool. Tighten and check again after a 10-15km ride.