Welcome to the forum.
You can lock it in either mode if you do it correctly. Using the settings will probably not work.
Rotate your TF to portrait mode.
Tap the clock to see the notification area.
Tap the three sliders just below the clock.
Tap the "AutoRotate Screen" so it toggles to "Off"
I want to point out that some apps (such as the Market) will force landscape. There is no way around this (just as some apps force portrait mode even when docked with the keyboard).
Be sure to do this in an app (or at the home screen) that allows portrait mode.