There is a bit of confusion about thread locking compounds like Loctite.
First of all, there are LOTS of versions of Loctite threadlockers, more than most who don't use it more than casually seem to know. They make them for a large variety of industrial and consumer uses, too...for different materials and environments.
I'll break it down in simpler terms, though:
There are four different color codes you really need to know about:
Red - high strength, permanent thread locker.
Blue - medium strength, removable threadlocker.
Purple - low strength, small thread threadlocker.
Green - wicking grade threadlocker (for pre-assembled components). Don't bother with the green ones.
Also, there are primer and non-primer versions. You'll want non-primer, simply for ease and convenience.
The ultimate purpose of a threadlocker is to keep threaded components from loosening. However, in the gun world we typically like to retain the option of future easy disassembly for such mundane purposes as cleaning and changing components, for example. This means a red Loctite threadlocker is not very desirable because of its high bonding strength and removal requirements.
So don't use red threadlockers on your guns. Save that for something else in your garage.
This leaves you with two other choices (excluding the green): blue and purple.
Both are excellent choices for most threaded uses on guns. However, I'd further recommend the purple over blue for the really tiny things, like small set screws. You're definately not likely to round out any tiny allen screws using this.
I use purple exclusively on anything gun related. The whole point, as I said earlier, is simply to keep threaded components from working loose, and purple has proven to be quite adequate from my personal experience. With the tolerances in threaded components, you should rarely ever need more than purple for most applications. And when you do, there's blue.