Like others have said, the domain policy will generally override any local settings you try to configure for this. There's a couple other things I'd like to add, though:
Be careful tweaking this setting, whether it be via registry or otherwise. I once tried messing with mine on one system (domain policy is to lock after 15 minutes, but I prefer 5 - can't remember what I changed, though) and the system ended up listening to neither the domain nor my preference even after I rolled back the change. In this case, it ended up not running a screensaver at all. That's exactly what you want, but definitely not what I'd intended. YMMV.
Regardless: Unless your system is the sort that requires full-time immediate access, for the preservation of life and/or property (i.e.: 911 Call Center), it is probably against your organization's policy to prevent the workstation from locking. If your system did fall into that category, then it would probably already be configured not to lock. Therefore, it's best to just leave it alone.
Even if you do manage to change the setting permanently, corporate administrators may detect the computer as being out of compliance and force the policy on again. After a few times of doing this, you or your manager may get a memo or visit from your friendly IT Security department.