I think you're better off with Setzer.

(SPOILER)Setzer is one of the characters that must be recruited, as he will provide access to an airship. Locke awaits at the end of a dungeon that requires the use of two parties (although I guess possible with one or two characters each), so there will be more time to level Setzer up. Personally, I don't use Locke at all in the World of Ruin, even in Kefka's Tower. Everything he can do, I have someone else who can do it better, besides steal, which I don't need.