I recently bought an inexpensive keyed flute which is quite decent--not great, but decent.

I was thinking of replacing the threads with cork. I have some natural cork sheet in varying thicknesses and from what Youtube tells me, it's a fairly straightforward matter.

Any warnings? Pitfalls?

My feeling is that it doesn't quite seal as well as I'd like

I'm sure someone more qualified will respond about cork, but I have to ask, why not just rethread the tenons?

I bought my current keyed flute secondhand, and while it had been reworked recently with new pads and thread, the tenons loosened up a tiny bit after the flute adjusted to my home environment. So I just removed the thread and installed new nylon thread with cork wax as a sealant/lube. I had never done a re-threading, but figured it out by trial and error and reference to past posts here.

I'm glad I did that, because it's let me add a small bit of thread, and in one case remove a tiny bit to keep the seals just tight enough over the last year and a half, as the flute moves around a tiny bit with seasonal changes. One big advantage of thread over cork is the way you can make these tiny adjustments if needed. On the other hand, cork has the advantage of being a little more "self-adapting" to pressure, so if you get the fit right once, you may not have to mess with it again.

You just answered the question. I find thread to be a PITA and hard to get right

I have replaced thread with cork on several flutes. Just know that typically tenons cut for thread are not as deep as for cork so the cork will be rather thin. This could cause it tear easier or wear faster. Other than that, I've had no issues.

I have both corked and threaded flutes and prefer thread. They don't demand that smelly cork grease stuff. And if the threaded joints seem a bit too tight or too loose I can add a little or take off a bit. I never have had to take off any original thread, as my threaded flute seems to have needed just a touch more than it must have when it left the hands of Mr. Wilkes 30 years ago. So I am just fiddling around with the threading I added on top of the original.

I have one modern flute and one antique repaired by a modern maker with perfectly fitted cork, and another newly made where the cork has always seemed a bit too tight. But it does go on with cork grease. I am watching this one to see if it ages itself looser, and it seems it may be doing just that.

I have no experience of at home corking, but if you fail you can always have a clarinet repairer do it. This is not usually that expensive.