Should I lock the door between my garage and my house?
If your garage door opener is made in the last 10-15 years, it's almost certainly impossible to "hack" the code. Modern openers use unique codes for each remote with 64- or 128-bit keys (which allow for a ridiculously huge number of possibilities).

However, it can be really easy to break into a garage mechanically, using the quick release: 

   

As others have said, once inside, someone is free to work on the door.

Often the walls between the garage and house are nothing more than drywall with insulation in it, so it's also possible to simply cut/smash the drywall and go around the locked door. 

A locked door may thwart a crime of opportunity (if the garage door is left open, for example) but if someone actually goes through the effort of opening the door it doesn't really seem like a really big obstacle.