Definitely grease the thread. Different views and advice on spindles though.
I would never grease a square taper spindle as I think it increases the risk of it working loose and that can knacker the whoke chainset. Less of a problem with Octalink and ISIS systems as they don't rely on the tightness of the taper fit. Last time I had difficulty removing a crank it was because one of the cotter pins had seized!
Strangely enough, greasing the taper ensures a more secure fit and less chance of it working loose. The mechanism by which this happens is counter-intuitive. I like to explain it like this. Imagine a scrubbing brush with bristles of say 20mm. Place the brush on a carpeted surface, apply a little bit of pressure (just enough to bend the bristles) and now move it sideways say 10mm. You'll notice that the bristles bend to the side but don't slide on the carpet due to the friction between the bristles and carpet. Now pull up on the brush and at some point you'll notice the bristles catch up with the brush body and move over.
The same happens inside the crank's square taper. As the crank bolt forces the aluminium crank up over the taper, there is resistance between the crank and spindle to slide. No matter how tight you make the crank bolt, you can see that as soon as you somehow enlarge the square hole a little bit, the crank will move over without additional force from the bolt being applied. This actually happens when you pedal. The trailing face on the square taper relaxes and the crank moves up onto the taper, not down. This leaves the bolt loose and it can unscrew. The bolt cap prevents it from falling out but if you work on enough square taper cranks you would have come across a bolt that's completely loose inside.
If you grease the taper, the crank moves easier onto the taper and does less settling under pedaling forces. That's why it is better to grease than not to grease the taper. However, there is always a little bit of grease residue on the taper in anyway, since it is lightly greased at the factory to protect it from rust, so greasing more is only necessary if you suspect that the taper was supplied absolutely clean.
The last time I even saw a cottered crank was in my childhood. Thank goodness that madness has disappeared. Octalink has other problems and is definitely not a better design than square taper. It was borne out of necessity, but not as an improvement.
