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There is a specific lubricant for calipers and sliding pins etc sold at any parts store. Anti seize is not the right stuff.
CRC lube at O'reillys to give you the idea:
http://www.oreillyauto.com/site/c/search/Brake+Caliper+Lubricant/N2531/C0069.oap?year=1996&make=Jeep&model=Cherokee&vi=1180358