Can thief use locked MacBook Air?
If you set a firmware password (which isn't set by default) and you used FileVault to encrypt the disk (also not the default), then the thief probably can't do anything with it. Without the firmware password, they can boot from USB, repartition the drive and do a new clean OS X install. Without FileVault they can remove the drive and mount it elsewhere, and then access your data. I'm afraid that just locking the screen is not enough.