Yes, you should have put some thread sealant on the threads if the sensor did not come with it pre-applied. Leave the first two (starting) threads clean of sealant.
I like permatex #2 non-hardening for oiling system pipe threads
Most folks use Teflon/PTFE paste
One needs to be careful if using Teflon tape, little bits of teflon tape are really good at clogging the tiny orifices inside an engine's oiling system.