I always lock mine up too. I carry one of those little plastic locks that has a long cord that zips in and out. It fits easily in my jacket pocket, and I just use it everytime I step out of my skis. Once, oddly, when I came out of the lodge to get my skis after having locked them up (I thought), I found the skis there but not the lock. The lock was not in any of my pockets, and I was very certain I remembered locking it up. I looked at all the skis nearby, to see if I had absentmindedly locked up someone else's skis, but no. I asked inside if someone had reported that their skis were locked up by someone else, and no that wasn't it. Then I rummaged around in the snow around my skis to see if it had somehow fallen into the snow, and no. My best guess is that I didn't close the lock fully, some kid watched me and decided to take the lock but not the skis. So weird, and lucky too.
I've also locked it up and been unable to get the lock to UNlock. It's easy to reset the lock combination if you aren't careful, and that was what I had done, and I did it twice. I had to get the lodge guru to cut the lock, and I went and bought another one on the spot, both times. Twice served as a good warning to me to learn just how to reset the combination and be sure I don't do it inadvertantly again.