Because page faults cause paged out pages to be paged in transparently, a process rarely needs to be concerned about locking pages. However, there are two reasons people sometimes are:
In some cases, the programmer knows better than the system's demand paging allocator which pages should remain in real memory to optimize system performance. In this case, locking pages can help.
Be aware that when you lock a page, that's one fewer page frame that can be used to back other virtual memory (by the same or other processes), which can mean more page faults, which means the system runs more slowly. In fact, if you lock enough memory, some programs may not be able to run at all for lack of real memory.