If you accept coverage through any of the hospitals or ED groups, make sure you know what type of coverage it is (claims made vs. occurence), who holds the policy and get a copy of the certificate of coverage as well as the endorsement that lists you as covered locums provider.
Later on, when you buy 'real' malpractice insurance for your first job (or more typically your group buys it), you will have to list ALL professional activities since high-school. Your new 'claims made' insurer doesn't want to get stuck with stuff from some moonlight gig you did during residency (as they cover you for 'claims made', so if someone files suit 23 months after the 'tort' while you are insured with the new company, they get involved).