Depends who you ask. Keeping tension may be better for muscle gains, but locking out can incorporate and build tendon strength. So, locking out on most exercises isn't the end of the world.
I agree that it's likely a flexibility issue, presuming your starting with helathy (never been injured) shoulders. The move that Tharren recommended is a good start. Also, if you can find a copy of Tsatsouline's Joint Mobility book, it has some good range of motion drills in it.
Here's an articel by Ian King with some awesome pictures: http://www.t-nation.com/readTopic.do?id=459832
Can you straighten your arms overhead with NO weights? It could be tight biceps/forearms as well. Also, do you notice limited flexibility on any other exercises?