The chance of damaging the transmission and breaking the driveshafts is increased, but not enough to be a much of a problem here. Handling will be affected, and you'll find the car much harder to control - it will understeer initially, then oversteer and usually spin out unless you're a 10th scale Michael Schumacher (since the Jato has so much power anyway)
To lock the diff, most people just fill it with glue, but due to the larger forces involved here, you'd be better off using a strong 2 part epoxy.
Out of interest, why do you want to lock it? For more grip offroad?