Since this thread was started, I've really come around to always using the internal control lock-- even if it's going right into the hangar.
It's now become part of my flow to shut the engines down, set the start locks, and as the engines are spinning down, I pull the control lock out from behind my seat and put it in.
I did have an odd experience, though. I had a contract pilot (old friend of mine) do a trip in my airplane, and when I got in it for my next trip, something was wrong... but I couldn't quite put my finger on it. I was having a hard time getting the control lock off, and then I realized-- he had connected the rudder portion to the tops of the pedals! Normally, it goes on the bottom.