There was a post about this a few weeks ago that turned into a huge debate over whether you should lock your stroller or not. Amidst all the drama, I think a few people did actually say how you do it...it was either lock the 2 front wheels together or lock one front and back wheel together. I forget which. You might want to search for that post.
I hear you about wanting your stroller to come home with you. I plan on locking my stroller up too. Anyway, I think I'm just going to try both of those ways and see what works best. Sorry I couldn't help more!