I tapped mine myself and just wrenched it into place. No locktite or anything. It hasn't come loose at all. One point of note though, I bought and used a tapered tap. This means that the hole at the outside is larger than the hole on the inside. I think you are fine with it being threaded in and torqued down decently, just make sure that they use a tapered tap.
And don't forget, the GReddy EGT bung uses a 1/8" BSPT-28 thread, not a standard NPT.