I'm going to get a thermostat that locks my roommate out
Why would you lock it?
He always makes fun of me, I'm not sure why he does that.
If you are keeping him from controlling the thermostat because he picks on you, that isn't right. But, if he's not paying his bills that is entirely different. Have you talked to him about the issue?
Nah, he doesn't listen to me. I think it is time to put an end to all this.
If your roommate pays rent they should also have control of the thermostat. There are appliances you can buy if you feel you are too hot or cold to put in your room.