I'm running a stroked 5.9 Magnum with a Precision of New Hampton 3800 stall 3 disc lock-up converter into a Stage 2 Extreme Automatic's 2004R. The lock-up feature can only be activated in 4th gear, and their high quality converter is very efficient. It only drops about 350 rpm between the locked and un-locked position on the freeway.
My point is that buying a quality converter and opting for the lock-up feature is worth pursuing.
I just ordered another converter from Circle D Converters for another combo. Not cheap, but great customer service and reputation.