Lou -
The answer your question might depend on which AF body is used. An F5, for
instance, provides two options: you can hold down the shutter-release
button midway to maintain focus and/or exposure, or you can hold down the
AF/AE-lock button next to the prism. The latter method I find annoying,
especially when wearing gloves, but it does provide the flexibility of
locking exposure and not focus, or vice versa.
In some situations, my preferred method of focus-locking is actually to put
the camera on MF mode. On a body like the F5, which has an
easily-reachable switch to change from AF to MF, this works well: use AF
to focus on whatever you want, then switch the camera to MF; this doesn't
really "lock" the focus setting (since the focus ring is still free to
move), but it does prevent the camera from changing it, without having to
hold any buttons down.
Hope this helps,
-tw.