That is nice. It's a shame that it was such a problem to get right.
This has been a good post. Different screws, how they vary and will affect the job. Preapplied lock coating on the screws being a problem with the fine machine threads....
This was a good one to share Bill.
Is your day going better now that you're finished? 
Yes. All is well. It was an overall PITA, but in the end it turned out well. I'm happy with the gun. The wood grips are more hand filling as well. As far as the pre applied lock coating, what I did was this. I first oiled the threads in the frame of the gun, as well as the screws. Be sure to get some on the red coating. It will help soften it.
I then placed the grip into place, and dropped a screw into the hole. I have a good set of Brownell's gunsmithing screwdrivers. Be sure you have the correct screw to fit the slot. A little trick I do is use a small piece of paper towel between the bit and the screw slot. This prevents any marring of the bluing on the screw itself. Then slowly turn in the screw 1 or 2 turns. I then pause and back out the screw a half turn or so. Then go in another turn, then back out a half turn again. I keep doing this SLOWLY until I feel the screw make contact with the grip.
You can keep checking your progress by seeing if the grip is loose. I kept going no more than a half turn at a time until I made contact, and then STOPPED. This is necessary because
you cannot feel when you have tightened the screw sufficiently. There is resistance all the way because of the locking agent.
If you try to go straight in and, "gorilla it", you will strip the thread. By backing the screw in and out several times, you "work in" the locking agent into the threads slowly, and give it repeated chances to "flow" in and around the threads. The constant in and out of the screw will help soften the compound. This, along with the oil helps. (I just used light motor oil). But I'm sure any oil, or even light grease will work fine. The oil will also prevent any chance of galling the fine threads.
When you finally seat the screw on the grip, the locking agent will hold it tight enough. If you want to get around all of this, buy the Sig grip screws from Hogue instead of Sig. I don't think they apply that crap to the grip screws they sell. Midway sells Hogue grip screws for Sig handguns. I didn't discover this until I had already ordered them from Sig. Live and learn.