If you fancy the idea of having a wobbling fork and loose headset, feel free. The locknut (I'm assuming you mean the locking headset ring that follows the threaded race) is the element that holds the race when rotational force is applied. The threadless top cap/star-nut assembly is what applies clamping force to the threadless assembly, within which the stem is sandwiched.
This said, there is a threaded-to-threadless adaptor commercially available for just such an occasion. Make sure of the stem's clamp diameter as well.