How does locking the segments help me to see which are from the tm and which I have translated? Does locking change the marking colour?
Yes, the text colour changes to grey. You can easily distinguish them from newly translated segments and AFAIK the spell checker won't check them either.
When I preview the translation, I cannot choose a colour coding for locked segments. So the proofreader will read the whole text and I have to pay every time for the old stuff.
Now, that's a different story. Locking, of course, only makes sense if you proofread the file in SDLX. You didn't mention in your original post that the files will be proofread in the original format. If this is the case you will need to find a different approach.
The only solution I can think of at the moment is to first create a TM from the pre-translated files that will contain all the pre-translated segments. You can then run this TM on the files so that the pre-translated segments will no longer be blue but gold. Then you will be able to choose a different colour for them in the preview. - Why are the pre-translated segments blue anyway? Do they get manually translated by someone else?