While you can technically lock your rate in with multiple lenders, doing so implies you are following through with the loan application process. Locking your rate also triggers a credit check and sometimes other fees, which you may be responsible for paying even if you decide to do business with another company.
To maintain positive relationships with prospective lenders for the future, your best bet is to shop for rates with multiple lenders, but only apply to (and lock) the most competitive offer you find.