No teflon is necessary on a bulkhead. Slide the rubber gasket onto the bulkhead. Then slide the bulkhead into the hole from the inside of the tank. When you screw the 'nut' onto the bulkhead from the outside of the tank, it will squeeze the gasket to prevent leaks.
Be sure the ribs of the Gasket are facing the glass and the flat side is facing the bulkhead flange. This will help create "gates" to prevent water from leaking out.
On most SCH80 bulkheads the gasket included has two sides. One side is smooth and the other has ridges or ribs.
The ribs help create a water tight seal around the glass. The smooth side should face the plastic of the bulkhead so that pressure is evenly distributed across the gasket.
If your does not have ribs one side, it really does not matter! Just make sure it is on the wet side as Brett suggested.
Another good tip is make sure all surfaces that meet the glass should be clean of all debris so that all the surfaces mate up correctly.
I talked to Mitch at Inter-American Aquarium and he suggested as bad coffee did to place silicone on the gasket. Mitch suggested both sides of the gasket as a precautionary method.