Usually, the new temp. sender is supplied with sealant on the threads. If you have the new sender on hand, and screw it into the hole immediately after removing the old unit, not much coolant will be lost.
On the other hand, as posted earlier, if you haven't changed coolant recently, you could use this as an opportunity to drain, flush and replace the old coolant.
I don't like the idea of using Teflon tape on the threads. That sensor has to be grounded via those same threads, in order to work properly.