Tom,
I'll add one more thing to whats been said - file a small chamfer on the male end of threads, and gently beburr the female threads with a rotary tool like below to put a small chamfer on the female side.
All parts from Armortek are deburred in a vibratory deburr machine (with deburring stones and water). This leaves a very fine powdery abrasive grit in the threads which can give you fits.
1) Clean the parts as Phil mentioned, or with toothbrush and soapy water. Recommend clean all parts actually. The wirebrush will remove remaining burrs from threads much better than a toothbrush. The brush and soap will remove any machining coolant residue and last bits of grit in the threads.
2) The anti-seize Brian mentioned will be perfect for keeping the caps removable for servicing - esp once parts are painted. The paint will bond them in place without a compound like anti-seize. A tiny amount on threads is all that's needed.
3) A Chamfer helps threads start to engage with each other and removes any burr at end/start of thread.
I also make a small tool to help tighten and remove the hubcaps. They be a little tough on the fingers to remove once the tank has been driven thru mud and water.
Best regards, Bob