As RS1 stated, it certainly won't hurt, but it's also not necessary for a fly rod. This is one of those "personal preference" issues where everyone's answer is correct. Take a look at some factory rods with single foot guides and see how many have locking wraps.

If it gives you a sense of security, then go for it. Personally, I don't use them, and nothing bad has happened. If your guides are wrapped with the proper tension, and your finish extends a bit onto the blank, the guide is not going to move unless it is damaged somehow. I hammered my 1wt all summer and fall, and the SFG's are just fine...no locking wrap.

Joe