If it's like the iPhone 4 orientation locking, you click the home button 2x, swipe to the left, and then click the lock icon. The problem with iPhone 4 though, is that it only lets you lock portrait, and not landscape. This would tick me off if they only allow locking in one direction on the iPad.
But... surely they wouldn't, as most iPad apps to even be approved by the App Store have to rotate neatly in all directions. I'll repost my findings tonight, planning on putting 4.2 beta on my iPad to do some testing.