I think that the Sansa Fuze+ should have the same locking/unlocking feature that the iPod Touch has. The power button at the top also serves as a locker. When you press this power button, the screen turns on and then another press turns the screen off. Also if you tap the buttons the screen turns on. You then swipe like you would normally unlock the device now. Once the device is unlocked, you tap the top power button to lock it again.
One thing I have noticed is that you cannot use anything else apart from skin to use the navigations buttons, much like the iPod Touch. So you cannot use a stick or anything else. This means that if the device is in your pocket, the device will not unlock.
