My preference is to Lock all items in the workspace. This can't be applied to checked out or new items, so even if you select all items it won't affect new things or items you intend to change. I think you may have to unlock items you already have in a workspace if you want to check them out, but I'm not entirely sure.
The two-step is probably because the first save attempt items are not locked at the time the save is started, so it flags an error when it can't be saved after being locked mid-operation. The second attempt it doesn't bother trying because it sees that it is locked when making the list of items to save; therefore, no error.