Yellow teflon tape is "double wrap" rated stuff intended for propane & natural gas pipes...its thicker than the white tape and is required to pass inspection and meet code...there are other types of teflon tape also..I prefer paste type sealers myself...teflon tape can sometimes get into places it dont belong and cause troubles..
I use "Recto-Seal" pipe thread sealant on threaded pipe connections,its great stuff,and my dad had a few cans of it lying around,so I've been using it for years,trying to use it up..
You may not find that at home centers,you might need to go to a "real" plumbing supply or good old fashioned hardware store to find it..
There are many other things you can use on pipe threads like Permatex PTS,Form-A Gasket #2 non hardening,Indian Head Gasket Shellac,etc,but only use those on things that wont need to pass a inspection on house plumbing--will work fine on automotive applications..remember,only tapered NPT fittings need sealant or tape,never use it on a flared fitting,it's not needed on those and will only cause grief later on...