Pokey is right, many of us wheeled for years open before we stepped up to LSDs. Lockers are a huge advantage.
There are exceptions to nearly every rule but locking the rear first is best.
While Joop's example is extreme, no rear drive at all, it shows just how much more the rear actually does. Drive a trail in rear only then front only and see the difference. Weight transfer is a huge issue and in steep terrain the front is almost completely unloaded.
Let's say that you have 1 front tire in the air, the front is locked and you have marginal traction in the rear. If you don't have great traction up front, you will probably spin the one front tire with traction and the rear will revert to open. Meaning that you basically have 1 wheel providing traction- the front. With the rear locked you will have 2 tires pushing or 100% more traction.
As I said earlier, there are always exceptions, and there is probably some situation where a front locker would do more good than a rear, but my experience points to a rear locker being more beneficial.
Now after all that B.S., if we're talking about a Dana 30/35 combination- lock the front first and save for a real rear axle.