i have it on lock all the time!!
i had my iphone 1st gen stolen at knife point from me on my way back from work one day and the stupid idiot hit me on my head and left me too bleed and stole my phone but was unable to use my phone as i had a lock on it and was able to call up o2 and disable my phone right away !!
So I advise the ppl if u live in a fuked up endz "Keep It Locked"