Another free program that I just found a little while ago over at XDA:
http://forum.xda-developers.com/showthread.php?t=386451
This has many options including locking when screen dims.
I was having problems with my phone unlocking in my case. I only realized yesterday that the magnet in the case was unlocking my phone and causing all sorts of problems.
One caveat. I was having a problem with the stock and 2 other locking programs (including this one) as nothing was working right (though I did not try pocket shield). I think it was the magnet in my case that was really causing all the problems so I am trying this one again because it locks the phone on waking or when it dims (so I never have to hit a lock button). Obviously I am using a different case.