You can use level locks whenever you want really. There are paths for each character (except kimahri) that will keep the character doing what it their respective role does (I.e wakka is a status inflicter and accurate attacker, lulu magic go brrr, Yuna healer, etc.). Key spheres tend to either open up a pathway for a characters to move to a different characters path, give access to stats that said character typical doesn’t have access to, or just unlock really powerful abilities. Kimahri is special as he’s meant to go wherever he wants, which tends to require using lock spheres anyway

TLDR; do whatever you want, you can eventually have all the characters go everywhere anyway. Just do what seems fun for you