Personally, I removed all security from the Android lock settings, set an unlock gesture in the CM settings, and then hid the unlock slider. The result is that when somebody picks up my phone, they see an empty screen with no visible way to unlock it. I can unlock it just by drawing my gesture, but nobody else (Except maybe other ROMers) would even know how to unlock.
The benefit of this is you can still use lock screen music controls.
If you try this, I strongly recommend enabling "menu button unlock" as a fail safe mechanism to let you practice your gesture without risking locking yourself out of your own phone. Once you're skilled at your gesture, you can disable menu unlock.