Sure.. you can do it manually or have your chip burner do it in the chip like I do. I got the converter programmed to lock up at about 75-77 mph..you get a bit more speed and a bit less wear doing it that way
You can do it manually like you are thinking. As soon as it hits second, it will lock up. It does wear the converter clutch out quicker, and is harder on parts. Many people do it with decent luck, and it should run faster that way. If everything is in good shape, it should not be a big issue. The faster you go & the more you do it, the quicker it will poop out on you, but it's fun