You have a threaded headset and you want to use a threadless stem.. Have I got that right?
Is this the adapter you are talking about?
http://www.performancebike.com/shop/...tegory_ID=5230
If so, I would highly recommend you use the locknut. Just use the adapter as it was meant to be used and mount your stem accordingly. I had one of these adapters on an older bike and it looked clean to me. Remember... Function takes priority over form.