If you're going to lock one axle, best offroad performance is gained by locking the rear.
I wouldn't recommend locking the front of a full-time 4wd jeep, the steering will be tough unless you can rig an axle disconnect.
Seems there are more and more in my club welding thier diffs, especially after seeing how well it has worked onroad and off for me over the past few years. We had a huge trailride this past weekend and 3 jeeps in my group were wheelin lincoln lockers, with great success. We all drove 2+ hours home afterwards, no trailer queens.