The rule of thumb I got for nut height a while back (on this board, probably) was:
1. lightly fret your high E at the third fret. The string should be touching, just barely, the second fret as you do this.
2. examine the string as it goes UP from your finger to the nut.
3. there should be a barely visible speck of daylight between the string and the first fret. That's your indication that the nut is taller than the 1st fret - it needs to be just a hair higher than 1st fret but no more.
4. This way, it doesn't matter what kind of frets you have, it's a relative thing. Doesn't that make more sense?
This one of those nuggets in my head that probably came from CB at one point.
Did you carefully look in the packaging the locking nut came in? I don't use locking nuts, but have used Fender LSRs on a couple of builds/upgrades, the shims for those are teeny/tiny and might wind up on the floor if you weren't careful opening up the packaging...