By locked, it means the gears in the diff are locked as Dom said. From what i've read, guys put a heavier diff oil in them to give more of a limited slip positraction. It's less invasive than filling the drive cup with silly putty (yes i read somewhere to use silly putty) or jbweld.
Use a thick oil in the rear and a lighter oil in the front. If you run a heavy oil in the front, you will loose some of your stearing.
I don't have a buggy, i have a maxx. I use grease in both the front and the rear. As for center diff units, I'll rely on others to help you with that one.