No I dont lock them in. We dont have coyotes here in south central NJ ... just hawks and the occasional fox. Both of which have been kept out of the pen. I would imagine I would lock them in at night if we did have that issue.
I was just up in your neck of the woods last week visiting some friends near Clinton, NJ.
I live near Flemington, and we have had the occasional coyote for the past 20 years (tracks in the snow0. This year a pair raised a litter about a mile from our home, and I can hear them vocalizing nightly. Deer hunters, hopefully, will lessen their numbers.