Some people use cable ties (plastic ties available at hardware store). That way you can tell if it's been opened.
In the past we haven't locked our luggage, but we did use luggage locks on our golf clubs. They told us that if they had to open it for further inspection that they would cut the locks off. Since the cheap luggage locks don't really cost much, we didn't worry about it and looked at it the same as using a cable tie.
I believe that if they do open your bag for inspection - particularly if they cut a lock or tie - they are supposed to leave a note in your luggage informing you that it has been hand inspected.
My recommendation would be to go with the cable ties, as they are not expensive, you don't have to fiddle with keys, and you can tell immediately if someone has opened your suitcase.