Unless the pedals you're putting on are brand new (and hence already greased), make sure you grease the threads before you screw the pedals in so there's less chance of them corroding/seizing/generally becoming impossible to take off again at a later date.

Heaven help me if I should ever want to get the pedals ("well loved" spds) off my commuter/roadie! I had to use the pedal wrench to get them on!