Do you want to lock the fields so that the user can't fill them in or so they can't move the field, change the properties, etc.?
If you don't want them to fill in the fields then you select the fields to lock, open up the properties dialog box and on the general tab place a check next to Read Only and if you want you can add a check to the Locked option in the bottom left corner.
If you just want it so they can't move the field or change the properties then you just need to put a check in the Locked option in the properties dialog box.
Adding these check marks can be done to one field at a time or if you select a group of fields you can apply these settings at once.
Now just because you've locked or have selected read only, the user, if they have Acrobat 7 Pro, can go in a change the settings back. So you'll probably want to set security settings that protect your PDF.