Here's a really good article by a local veteran luthier on working with Floyd Rose style locking tremolos:
Tuning up a guitar with a locking tremolo can be somewhat of a challenge. Unlike a fixed bridge, as you change the pitch of each string when tuning, it affects the tension of all the other strings (and of course their pitch as well). You basically have to tune up & repeat until you hit an equilibrium of sorts. I have followed the tuning method presented in the linked article above for years, and it works very well for me. Another page of useful instructions can be found on the Floyd Rose site itself.