Generally speaking you shouldn't need either. The tolerances for press fit parts are made to do just that Press Fit! I have seen some mechanics use grease when pressing the headset but that is more so for ease of installation. It takes a lot more pressure to get it out than it does in. Being that you may need to change them at some point I would stay away from loc-tite as that layer will also effect the tolerances for said parts.
The best bet is to always check the manufacturers specifications as well.
In short I would use neither as long as you have the correct press tools.