when you are piecing, you do not need to "lock stitch". You are going to be cutting those pieces most likely if you are strip piecing, or at the very least, you will be crossing that seam with a new seam. When you are actually quilting, you should "bury" those long threads when you have completed all the quilting, so no, you would not lock those seams either. The only time I ever do that, is in garment construction or perhaps when sewing something like a tote. I have started doing Bonnie Hunter's "Leaders and Enders" where you sew on 2" squares (or whatever other project you choose) and leave those under the pressure foot when you finish chain piecing.. it saves thread and prohibits thread snarls when you stop or start a seam