Linda,
You can also set your grid in "half". Here's an example:
Text: 10/12. Level One Subhead: 18/24, space above 24, space below 12. Level Two Subhead: 15/18, space above 12, space below 6. Then, set your baseline grid to 6 points rather than 12! Your heads will be able to lock as well as your text. You'll also be able to lock things like bulleted lists, etc., with a space above and below the list of 6 points.
(All numbers for the sake of example; you can do the same thing with any leading, just set your baseline grid to half the leading.)
Nifty trick courtesy of rp on the sic list.
peace,
Linda :-)