paint ok - you are over-thinking it
dont use thread lock - wont work due to the heat, however if you add enough of it, then you will never get the bolts out.
use maalox (or milk of magnesia) - seriously use maalox. the maalox coats the threads, the heat turns the maalox into a powder, the exhaust bolts will not rust into place. - this is an old crusty tip from an old crusty engine builder handed down to this old crusty hod rodder
you can also use copper based anti-sieze.
however never use locking compound
exhaust bolts are retained by proper torque which in turn stretches the bolts to the proper tension.