It is a good practice. It might help keep your steering aligned longer. Engaging the steering lock is fine.
When you turn the steering wheel, the steering column transfers that force onto the drive shaft and other related components to turn your wheels.
So when you park with the wheels at an angle the steering parts exert an opposite force. Have you noticed how when you take a U Turn the steering tends to straighten out when you let go of your grip on it?
This force is continuously exerted on the steering column when you park with your wheels crossed and not straight.