This incredibly simple process shows how to use the bottom cap in a Rock Shox steerer tube as the bottom of a headset locker like the Azonic Headlock (http://www.oneal.com/catalog/product_info.php?cPath=2_19&products_id=590
) or USE Safe-T (http://www.use1.com/products/safe-t/
My new Pike's steerer tube had a cap in the bottom with a threaded hole the same size as a standard headset bolt (M6).
Required parts (in addition to headset, stem, spacers, etc.):
M6 threaded rod (shortest I could buy was 3 feet)
M6 coupler nut
Total cost ~$5.
I don't know if any or all other current Rock Shox forks have this same kind of cap as well.