I always do. Even if it's not a very good lock, it's still a deterrent.
There have been a few postings recently about skis going missing in Bansko, and I presume the same will apply to Boro - along with most other resorts around the world...
There was an article in The Observer today about this happening increasingly in the Alps. They suggested swapping one ski with another member of your party when you stop in a cafe, or if you can, leaving them by the window. Any potential thief then can't be sure that they are not being observed, and will probably pinch someone else's.
I just hope for the best - that usually seems to work!