What to use on saddle clamp?
A very thin coating of grease will help prevent the threads corroding or sticking together, as will a specific anti-seize product. You definitely want something on the bolts as water and crud gets thrown up into the bottom of the saddle by the rear wheel.

You can use thread locker, but if you have been having trouble with the seat bolt coming loose you are probably not tightening it enough. You can try taking the bike to a repair shop and having them use a torque wrench to tighten the bolts properly.