Here's exactly how I updated:
- Used 4.2 Factory Image
- Rebooted immediately back to Bootloader after the flash-all.bat was complete (didn't let OS boot)
- Locked Bootloader
- Went to Recovery
- Sideloaded the 4.2 to 4.2.1 update
- Sideloaded the 4.2.1 to 4.2.2 update immediately afterwards
- Wiped Data and Cache
- Rebooted
So far everything seems well.
For some weird reason when I first restocked my device, I wasn't able to access Recovery after OTA updating from 4.2 to 4.2.1 (got "No command."). No idea what was up with that.
No need to lock the bootloader.