..or tell the Cyclone to Hold Position as soon as you hear the unit Lock On.
You can prevent the Cyclone from moving forward by issuing another command, but it will still want to drift and 'chase' whatever is in front of it/whatever it's attacking, much like a Marine will move towards a group of Stalkers if they're close enough.
In my opinion, the best way to fix this issue would be to increase the default attack range of the Cyclone from 5 to 7. It doesn't make sense for its base range to be so low, even when not Locked On.