Android's handling of the app defaults is awkward, hence the various apps on the market (including my HomeSmack) to help switching between default Home programs.
The only way to set a default app as of 2.2 is to launch it in a generic way* when there is no default set. Then you'll get the list with the checkbox to set it as a default.
So really what you need to do is clear the default, then slide the SMS slider in WidgetLocker. You should be able to clear the default by:
System Settings > Applications > All Applications > Messaging (Or whatever current default app is) > Scroll down and click Clear Defaults.
Note, you want the Clear
Defaults button, not the Clear
Data button.
However some vendors might set their app at a higher priority making it impossible to change the default.
The coming update for WidgetLocker will allow you to select an app shortcut and then independently change the icon. Either to your own, or one of the WidgetLocker built in slider icons.
*For the curious:
Code:
Intent intent = new Intent(Intent.ACTION_MAIN);
intent.setType("vnd.android-dir/mms-sms");
intent.addFlags(Intent.FLAG_ACTIVITY_NEW_TASK);
startActivity(intent);