What exactly do you mean by locums? Random travel via an agency? Or just spot part-time coverage in various locations?
I moonlight outside the Navy as a "locums" but it's not through an agency. I just directly contract with the groups, no middleman. Sometimes I'm hourly, sometimes it's a flat fee for coverage for a period of time.
I carry my own malpractice policy, which is discounted about 50% because it's part time. It's cheap. I'll be entering year 4 of it shortly (maturity is at 5) and it's still only about 2-3 days worth of work.
Tail will be 230% of my current annual premium, when that day comes.
I'm in a tort reform state. I got a quote for my other home state, since I'm likely to move back there in a couple years, and the rates were somewhat higher.