Like all characters in Final Fantasy VI, you can make Locke what you choose. Almost any character can become a decent mage or a good fighter (heck, my main magic user is generally Edgar!), and Locke's well rounded enough initially that you can choose whatever path for him you like. It's fairly clear that he's intended to be used as a melee fighter, but to be honest he's not initially the best at it. At at least one point in the game you're probably best using him as your main healer.
In the beginning of the game, Locke will pretty much suck. He doesn't have any magic, like Terra, and he doesn't have the magnificent auto-crossbow goodness of Edgar, or Sabin's blitzes. Locke can just steal, and he's not very good at that. Still, you can keep him in the back row to make him hardier, and just steal every chance you get, as you can get better items than normal this way. (It helps if Edgar confuses them with the Noise Blaster.) There's not much that you can do with him at the beginning of the game, except trust that one day his battle prowess will match with his general all-around awesomeness. Pick up the Sneak Ring at the first oppurtunity, as well as the Thief knife. When you have Locke equipped with the Genji Glove, Sneak Ring, Thief Knife, and whatever Locke's current best weapon is, you'll steal more effectively than with the Thief Glove, which you can pick up in Zozo.
When you first get espers, load Locke up quick. You've got plenty of physical force at this point, with Edgar, Sabin, and Cyan, but with Terra out of the picture, your magic is half gone. Locke's the best choice as a healer, mostly 'cause he sucks on offense, so you can have him stealing potions one round and using his cure goodness another. You'll have plenty of time to teach Locke spells, because he's more or less required the first half of the game. If you want to be hardcore, you could probably start raising his Magic stat now, when it's easier to level up. Keep a close watch over everyone's XP, and when they're about to level up, switch them to Stray. After they level up, switch back.
When you get access to Hawk Eyes, after the return to Narshe, you should buy two and stick them onto Locke with the help of a Genji Glove. This is very important. These are very good weapons that have a chance of massacre if the enemy is flying, and at this point, a lot of them are. Locke: now with less sucking.
Endgame in Final Fantasy VI is endgame in Final Fantasy VI. You've got all the gamebreaking stuff like Ultima, Life 3, and Illumina, and you've probably figured out a set-up that works for you. Locke has access to a lot of the best swords, but the Valiant Knife and his dual Wing Edges can see him through in a pinch. Locke's a prime candidate for the infamous Genji Glove + Offering/Master's Scroll relic combo, as the Valiant Knife and the Atma Weapon both ignore defense, and the Valiant Knife has a special algorithm that ignores the Offering/Master's Scroll damage penalties.
Some people are of the opinion Locke is nigh-useless in battle. They are wrong. Let me prove it.
First off, I'll gladly admit he kinda sucks in the first half of the game. His lack of damage is compensated for somewhat by the dual Hawk Eyes you can give him after the second coming of Narshe, and he's can like, steal stuff, but that's about it. He's not great.
But late game Locke can be one of the most useful members of your party! Like the rest of the cast, his statistics start to matter more than his special skills, and also like the rest of the cast they can be pumped up with espers. Unlike the rest of the cast, Locke's starting stats are pretty good. His weakest is the 28 in magic, but that's both easy to change and not really neccessary. For Locke can focus only on physical attack, and do more damage than any Ultima.
Locke has the max possible damage for the Offering + Genji Glove combo, because there are only two weapons in the game that can possibly do garunteed max damage with the Offering. They are the Atma Weapon and Valiant Knife because these weapons ignore defense. You say, wait, what about the Illumina? Isn't that the best weapon in the game? Well, yes, it is, and Locke can equip that too. But the Illumina does damage like a normal weapon. The algorithm for calculating the damage is:
Step 1a. Vigor2 = Vigor * 2
If Vigor >= 128 then Vigor2 = 255 instead
Step 1b. Attack = Battle Power + Vigor2
Step 1d. Damage = Battle Power + ((Level * Level * Attack) / 256)) * 3 / 2
Step 1e. If character is equipped with an Offering:
Damage = Damage / 2
Now, assuming the character is at level 99 and equipping the Illumina, which has max battle power at 255, AND assuming the character has the maximum vigor, up against a monster with a defense of 96, which is around average, then:
Vigor2 = 255, Attack = 510,
Damage = 255 + ((99*99*510)/256) * 3/2 = 29,288
Damage = Damage / 2 = 14,644 (due to offering)
Damage = (14,644 * (255 - Defense) / 256) + 1 = 9096 (with defense)
The most damage anyone could possibly do is 9096, and usually they would do lower than this. (Although, really, don't use Offering and Illumina together? It negates the chance of Pearl and cancels its automatic criticals.) With the Valiant Knife, however, the damage IS a garunteed 9999, even excluding it's special modifier.
Vigor2 = 255, Attack = 414
Damage = 159 + ((99*99*414)/256) * 3/2 = 23,934
Damage = Damage / 2 = 11,967 (due to offering)
I know that it's, it's not like the difference between doing 9096 x8 and 9999 x8 is really that big a deal, but the highest damage potential in the game is something, isn't it? (And yes, you can get two Atma weapons by stealing one off of an extremely late boss, but you need Locke to do that anyway. Stealing with people besides Locke is dumb.) Basically, he can kill Kefka in one hit.
Okay, so that's all well and good, but what if I don't want to level up my characters insane amounts? At lower levels, the Valiant Knife is actually better than the Atma Weapon, due to their respective algorithms.
For Atma Weapon:
damage = damage * level
damage = damage * ((current HP / 256) + 1) / ((max HP / 256) + 1)
damage = (damage / 64) + 1
This means it will be subtracting damage at levels lower than 64.
For Valiant Knife:
damage = damage + (Max HP - Current HP)
So, if Locke is down 1000 HP, which is not an uncommon occurance, at least the way I play, Locke will be getting a direct 1000 bonus to his damage.
This is a huge advantage that Locke has. For extra fun, you can give him one of the HP increasing hats, which basically add 15% of his HP to damage for free.
So basically, Locke can do ridiculous amounts of damage at higher levels or just be a fun and useful character lategame. Like...most of the Final Fantasy VI cast, whatdayaknow.