I've seen comments from people that play to all their sims' wants, which I love and am trying to implement in my game to make it more interesting. In what context do you guys lock wants and fears, then?

Back when I bothered to lock wants, I tended to to lock wants that I wanted the sim to fulfil, before they would have a chance to reroll. Toddler wants in particular (they tend to roll just once), but skilling wants the sim was working on, or those that took a bit of time like baby wants or marriage.

I lock whichever wants I for sure want to fulfill. Like, oh, you want to flirt with your wife's sister, and you want to play marco polo, and you want to blog about nature, and you want to meet someone new? Well, I'll take you out to the pool lot, but if I don't lock marco polo it'll roll away when you change lots, so I'll lock that one.

When a sim rolls a long-term want (or fear!) that makes sense for them or serves my dastardly purposes, I lock it. Have baby wants are probably the most commonly locked, as with my playstyle the wants will reroll many, many times between pregnancy and birth, and prolonged anticipation of a birth makes sense. In a situation in which I'm enforcing a rule about only purposely skilling when a want is rolled, I sometimes lock generic skill wants, or wants for skills that the sim has no fun, autonomous way of getting, usually Charisma or Mechanical. Wants for engagements and marriage are also frequently locked, especially in situations in which some obstacle stands in the way of achievement. Motivating wants will sometimes be locked even if I don't intend to fulfill them - for example, Junior Mann wants to get engaged to Candy Hart, and thinks that she'll say yes if moves out of his parents' house, makes good in a respectable job, and demonstrates his ability to support her and their offspring by building a suitable house. Candy is perfectly happy supporting herself and the kid with date rewards, child support, and romance novels, and will not be getting engaged to anybody until and unless she rolls a want to do so, which she is not very likely to do - but Junior's fantasy about it gives him reasons to do more than lounge around his parents' pool being boring. If he catches her cheating I'll observe autonomous behavior for a little while before I decide to unlock it. He might, after all, double down on his determination to prove himself to her in the face of her assertion that she owes him nothing. Locking specific toddler-skilling wants may be used to shape the relationship between a toddler and a parent, with - for example - the more active parent teaching walking while the more sedentary one teaches the nursery rhyme, or the more social parent teaching talking. I always lock the potty-training want for toddlers, because that is the only skill that all my toddlers learn, and in an un-agemodded game it almost guarantees that the toddler grows up well.

Since I have a specific set of rules regarding sexual activity, treating certain wants as physiological states (a man with no woohoo want is not getting laid because his body is not cooperating), I sometimes temporarily lock date wants if I know they're about to reroll and I don't want to lose ground, typically when a date reaches the "ask back to my place" stage. Other temporary locks may be instituted on the fly during gameply, especially when switching between lots, to prevent things like a sim rolling a want to do something that can only be done on a community lot, and then no longer having the want on arrival.

Fears may also be locked for storytelling or characterization purposes. When lifebars start getting short, I may lock fears of a sim dying, especially in sims who don't live on the same lot, to guarantee a properly sad mourning period. Locking a baby fear, a fear of rejection, or something of that nature may be used to motivate long-term behavior in the same way that locking a big want may.

When playing to wants, it also pays to anticipate commonly rolled wants. For instance, most sims will roll a want to learn the parenting skill immediately after a birth; but it may take most of the baby's infancy (the only period during which the skill is at all useful; I generally use it to head unnecessary bottle feeding off at the pass) to learn the skill. So it makes sense to maintain comfort levels during pregnancy to study the skill, but not finish it off until after the birth when the want is rolled and the aspiration can be boosted.

I play to my Sims wants, but the wants that are locked are up to me. They are generally the high scoring wants: Be friends, have a baby, woohoo, go to college, get married, get abducted by aliens, etc. I like to lock wants that I see as big life events. Because what if I don't lock them and Goopy just wants to play with his dog all day?
I also will sometimes lock skilling & crafting wants. To me it makes sense to lock wants that my Sims have to work towards and to ensure that my Sim isn't only focusing on buying things or playing with pets.

Most of the time I lock wants to skill-because I know someday even the laziest pixel will want a promotion and a better job, or even more pay. The job wants they roll when first introduced are almost always locked because there's no way I'm going to let them get a job that way-they've got to earn it. By getting enough skills to do so .

Baby wants I lock when they're first married, because it's a normal one and while just one wants a baby, I'll often have to wait for the other spouse to catch up to it.

The ones I don't lock are mostly fears and 'buy this', because they're so transitory and fleeting.

I tend to lock either the highest-scoring want, or a want for something the Sim needs. "Be BFF with" is very often locked, because it's pretty much inevitable and gives a high score. Other relationship wants, such as engagement or marriage, I lock only if both Sims roll the want at the same time, so it can happen as soon as their schedules allow. I only lock baby wants once the Sim (or partner) is actually pregnant - that way I know right away to keep a close eye on needs when I come to the next rotation and the pregnancy isn't showing yet. A woohoo want is always locked because I like the chance of an oopsie baby in households that might never roll a baby want.

If the Sim has multiple skilling wants, I'll usually lock the highest one unless they need one of the others for a promotion.

I lock 'do homework' wants for both children and teens, but I don't lock the university want unless the Sim is definitely headed off to college later that day. Why? Because I only have teens do homework if they have either the 'do homework' or the 'go to university' want. Since the latter is a longterm want that might come and go, I regard it as wishful thinking that the teen might work towards when the notion takes them, but isn't something they're necessarily willing to work on day after day. So a teen might one day think it would be nice to go to college, get all enthusiastic and catch up on their homework, then lose interest and wind up with too low a grade to get into uni.

I never lock fears, because I never plan for bad things to happen to my Sims. If something is going to happen, I always hope the fear will have rolled away before it does.

I lock high scoring wants that I don't want to disappear unless I know it is unlikely to be filled.

I play to sim wants but this also depends on their motivation level. Low motivated sims are more hands off and I don't direct them to study even if they have a want, not unless it keeps coming back. Average sims I play mostly to all their wants and highly motivated sims have to study and do well regardless of skilling wants.

As to other wants, I try and fill those as much as possible. I tend to fill those that I think to suit the sim. We don't actually want everything that we think about doing so I view those as passing whims. This depends on the sim.
So if a sim rolls a want to flirt with someone else not their partner, I am not likely to let that happen unless they are the cheating kind. I am more inclined to see that as something they thought on but would never do. Just because we are mad at someone and think of doing something doesn't mean we do it. So regular sims with thoughts of drinking the burglar won't be happening because normal people don't kill and drink others. When I had a mafia legacy going those type of wants I did fill.

Whatever type wants you fill trains the sim to roll more of those wants. So think about their personality and decide is this really them or is that a passing whim because they are angry or something else. If there are wants you can't fill and they roll away decide if they should still be filled or not. I jot those down in their bio if I think they would want this filled. Uni wants are one thing this happens with and toddler skilling. With toddler skilling wants sometimes I get the parent to drink coffee and nap so the wants don't roll away and with Uni that would be one to jot down. Just because it rolled away doesn't mean they don't want to go but just that these other things are wanted more. Bit like going to a job, you might not always want to go but you do anyway. If the family background is one of higher education the sim might go regardless of ever rolling a want.

With Uni, I have a Uni hood, but also uni at home with different requirements for each, so this is more than about wants. If a sim goes to uni I then play Uni to wants. Sims must roll a want to study or do a term paper. Certain sims can earn grades other ways by hacking grades, sleeping with professors or getting dormies to do their work. Most of these won't be rolled as wants, I go by personality. So a romance sim with no wish to study but I wish to pass could romance their professors and gain more grade that way. Of course if they don't have the bar open they might still flunk out. Sims who flunk out or who don't make uni do the NPC type jobs or maybe work for themselves.

I've never locked a fear as I play to wants but that might suit a certain type of sim.

To really play by personality and wants means slowing down and taking note of the sim as a character, of their interests and hobby as well. Sometimes I change the hobby to suit. A lazy sim with high interest in food and nothing in fitness with the film and literature hobby is not wanting to be a dancer. Maybe a chef would suit them better.

I like to lock the big wants like have a baby, go to college, etc. I will lock in skill wants, especially the generic gain a skill want, when I know a sim will need it for a promotion.

I also will lock in fears if it relates to what a sim wants, but haven't rolled an actual want for. For example, a sim who fears a rejected engagement proposal will have that fear locked. My interpretation of this type of fear is they want to get engaged to said sim, they're just worried about a rejection.

Goopy sounds like me.

short version: whatever is the most fun.

longer version: something along the lines of what Penny wrote.

keep in mind that when you lock a want down, and then achieve it, you are likely to roll that want again. So locking a want is not just a tactical decision, but can fit a long term strategic purpose.

I use locks to keep wants from going away during the night and when going to community lots etc, but I don't tend to keep locks for more than a few sim days (unless I have a good reason) because otherwise I feel like the want is kind of stagnant. If I haven't gotten close to fulfilling the want, I unlock it to make room. I do sometimes make a decision to fulfill it later without the aspiration benefits, though - for instance, Lazlo Curious rolls a LOT of wolf wants, but has only rolled "become a werewolf" once so far. I'm still planning on making him become a werewolf but unless that want pops up at the right time it'll basically just be for fun I'm thinking of using some of the strategies others have listed though! I'm still getting used to listening to my sims more instead of only playing knowledge sims who I can micromanage!

Also, when referring to achieving certain wants will make it more likely to roll again: is that like how there's a sort of want progression (like filling make a friend leads to make a best friend leads to have two best friends etc) or is it something else?

There is want progression as you mentioned but also a sim is more likely to roll the same type of wants as what you have already filled.

There are certain types of wants that I have learned tend to disappear between wanting and earning them - the classics for me are Have a Baby, Go To University and Buy Clothes (if changing lot is needed to do so). If a Sim has one of those wants, and I feel like locking it, I lock it. (The main reason I don't lock is if it makes no sense to me for that Sim to want something as more than a passing fancy). If they have multiple and no locks are currently engaged, they get the leftmost of the wants locked (regardless of value or which one rolled first). I never lock two wants at the same time for a Sim who has earned them; they must wait a day between the first lock being used and the second one.

Fears are only locked for storyline reasons.

Once something is locked, it remains so until it is fulfilled or some event in the storyline makes that make sense.

No one knows exactly how the training mechanism works, because nobody can get at that part of the code, but it seems to have something to do with the SWAF (Sim Wants and Fears) history, which the game keeps track of. That at least was the late great Mootilda's opinion. The number of times a want or fear has been fulfilled is tracked, in the same way that the number of woohoos is, and stored in the SWAF history, where it is used to change or possibly to calculate the probability of the want rolling again. Because it involves probabilities, not direct links or causes, and the code is hidden it's hard to quantify; but the effects are observable, if sometimes subtle. I maintain, for example, that players who gripe about a particular aspiration rolling "too many" of a certain kind of want are training those sims into it by - for example - setting a Fortune sim on an empty lot and building the house around him, thus frontloading his SWAF with fulfilled "buy stuff" wants, which - given the way the want trees for the aspiration are constructed - will increase the chances of his rolling wants for more and more expensive things. Start them off in a furnished house and frontload the SWAF with skilling, personal interaction, and job wants, and you're more likely to get the kind of Fortune sim I run, who is focused on personal advancement and being The Provider for loved ones. Ditto hobby wants - if you don't want to be swamped with them, do something to reroll those wants, like a date or a community lot visit, and give yourself a fair shot at fulfilling wants you prefer to fill.

When playing with wants, this sort of thing is particularly important to bear in mind. You don't want to accidentally train a sim to roll more wants that won't be as much fun for you to fill. But the point of a wants-based playstyle is lost if you consciously train them! You want to develop a playstyle that hits the sweet spot between sims who want what you like to give them, and sims who surprise you and lead your game in fun new directions you never would have thought of on your own. And that's more of an art than a science.

Interesting! I definitely have observed the effects of that while playing, especially when assigning premades or CAS sims secondary aspirations. Their wants re-roll, I fill some of the new wants, and then eventually the secondary starts to overpower the primary. I'm experiencing it with Circe right now, I gave her a knowledge secondary and her wants panel is full of "Reach Logic 8" and such. I do want some of her "buy me expensive items" wants back so I think I'll try taking her out to try to re-roll, and lock one that'll lead her back into some of the fortune wants.
Anyway, this is a great piece of information to have, I'm going to keep it in mind when playing from now on! thank you!