Actually, locking effects in 2.0 is more of an issue for those of us with S-L-O-W processors, b/c a faster processor can playback without having to "lock" the effects.
But back to your question. In 2.0, each track has a little blue "FX" button which you use to select the effect, and a little blue "lock" button right next to it.
You'll see these if you use the "+" button to make the track view wider horizontally, like where you're only looking at 2 or three tracks as opposed to 9. Anyhoo, the way I do it is to select the effect, then hit "apply" or "okay" or whatever to close the effect window, then just hit the "lock" button. CEP 2.0 basically makes a new file that it substitutes temporarily with the effect on it. When you take the lock off, the original file is put back in its place.
Hope this helps.