Yeah that probably would have been better, though not how I did it. First I roughed up the keg and the face of the locknut I was going to solder. Then I just put a ring of flux around the hole and placed the locknut on the keg. I then put down some more flux by dripping it down the sides of the locknut and heated the locknut. Then I basically poked the solder into the seam where the locknut met the keg and soldered it that way. As long as it's hot enough and the keg is level, the nut doesn't move. I used a lot to make sure it got all the way under and made a good seal.
Edit: If you are going to go with the ring of solder method, make sure you flux the face of the locknut. Flux must touch what you want to solder or it won't make a good bond.