If it's a copper head gasket, I use a thin smear of grease. If it's the fibre type, nothing. When you refit the exhaust gasket, slot the stud holes downwards. That way if you ever have to change it. just loosen the nuts and it will lift out. I don't normally change the thermostat. they're easy to do later anyway so there's little saving. A new bypass hose is always a good idea. I would look at the bottom hose as well while you're in the area. A new fan belt might be a good idea if it's showing any wear. Finally, check the head is flat. If in doubt, a skim cost very little. If you do that, put a slight chamfer on the combustion chambers to remove any potential hot spots.
John