You can lock your domains by logging into your account at your registrar. You should see a link somewhere that allows you to lock your domains... If you don't, contact them. They may be able to do it for you...
Keep in mind, in order for a transfer away to go through, you still have to approve the transfer with the gaining registrar. It's not like you can go on vacation and find that all your domains have been transferred away.
Also, you can usually see the domain status if you do a WHOIS at
http://www.geektools.com/whois.php Somewhere in the whois results it will say: Domain Status: Locked. Or active, or on hold, etc...
Hope that helps...