My 05 is set to lockup at 12mph which it is still in first gear at the time. It does this with a pressure switch. I arm the lockup before I stage, and then it locks once I hit 12mph. I can adjust the lockup mph with the pressure switch, but 12mph works well on my truck. This is with a full billet transmission built by Ultimate Transmission. They setup the pressure switch.
My 02 won't lock until 2nd gear. I find it better to wait until it shifts to 2nd and then lock it up. Having it lock and shift to 2nd at the same time, can cause it to shift un-predictably. It's more consistent throwing the lockup switch when it shifts to second.
Paul