I'd leave it unlocked and let the thief insert his SIM, so Track&Protect will have something to do
Well I've only ever lost a smartphone once* and I did get it back thanks to it a) being locked and b) having a contact email address on screen. That may be a small statistical sample - but it has a 100% success rate!
*) Apart from when I washed my HTC Hero... No on screen message would have helped there though
*) Apart from when I washed my HTC Hero... No on screen message would have helped there though