I have made my Gentoo working without PAM. I didn't test xlock before, but then I found I couldn't log in with my password. So I changed to vc1 and killed xlock.

After looked into xlockmore (xlock's package name), I understood I needed to enable xlockrc use flag.

Ran it from command line, I was prompted for entering key (the password):

$ xlock -mode blank
  Key: 
Again: 
$ cat .xlockrc 
Something

Now session lock is back.