Yes I do it all the time when I'm driving it. I do lock them when I leave it anywhere though.
If you are driving through a dubious area it may be advisable to keep your doors locked.
Also it may invalidate your insurance if you don't lock your doors when you leave the vehicle unattended.
Your insurance contract puts a duty of care on you to take all reasonable steps to protect the insured vehicle. Not locking the doors would be deemed an unreasonable act and your claim may be refused
It is Ok with me it is OK from a legal stand point, it is really OK with people who want to get into your car and steal CD's, GPS, Stereo or try to steal the car.
If it is a convertible it is best to leave the doors unlocked - cheaper than replacing a cut top.