That tape is OK but it is really designed for high temperature rather than high voltage. I use it to protect connectors when soldering very close to them. It snaps easily if stretched and doesn't mold itself around shapes very well so it's best used on or between flat surfaces.
PTFE tape works well, I've used it many times without problems. There are two types, normal plumbing tape and 'gas tape' (presumably for gas rather than water fittings) which are identical except that gas tape is much thicker. Both are suitable but you might find gas tape is easier to use on transformer windings because it takes few turns to cover the wires.
Brian.