Locking the bootloader (as well as unlocking it) will force a factory reset, deleting all user data. So, doing it later might be a bit inconvenient depending on how much later.
As for safety …
The user data is encrypted by default. Once you set up a screen lock, this will serve as the necessary decryption method on the phone. Without knowing it, nobody will have access to your data when the screen is locked.
As far as I know, simple loss or theft of the phone with the screen locked will not expose your data, as only a factory reset via recovery mode would make the phone usable again, with your data then safely gone.
A remaining risk is somebody targeting you specifically. They could take your phone unnoticed by you, boot something custom to install some malware, return the phone still unnoticed by you, and then just wait for you to unlock it to either grab your decryption method and/or do whatever with your data afterwards. You have to assess that risk for yourself depending on your circumstances.
I’m running my phone with an unlocked bootloader to be able to use TWRP for backups … Backups, bootloader, root - #5 by AnotherElk.