I'm sure I should not use them on the return, but what about going over? Does it matter if we have a connecting flight within Europe?

Is there a reason you want to use them? I wouldn't worry about it either way. They are so easy to take off that if the security and/or thiefs want in your luggage it won't be a deterrent.

(Don't believe me, go to youtube and do a search "How to videos" all over there )

We've used them last 2 trips coming and going. TSA leaves us nice notes telling us they've been through our things for us.

I live in Europe and I use them all the time. We too had a nice note from the TSA last flight home from the US - others had the note and a broken lock. I lock my bags more to keep them shut than to deter thieves - they are welcome to my dirty underwear.
You can always use plastic cable ties if you prefer - just make sure to pack some nail clippers in your hand baggage to cut them open when you need to. leave spares in the bag on the top - maybe the nice TSA person will re-seal your bag with them.

Mine are combination locks btw, not that I think it makes much difference to thieves.

I have them but never bother with them. Cable ties are easier . TSA has a key to open the combo locks but airports overseas don't so if they want in they'll just cut the lock off and you are out the price you paid for them.

I've had TSA open a cable tie piece, leave a note and retie the luggage. I too mainly use them to keep the bag closed. If someone wants into your bag locks won't stop them. Keep valuables with you in carry on

I use cable ties on the zippers or nothing. I personally don't believe a lock keeps out a determined thief. I pack my checked luggage with nothing of monetary value and just think of it as an 'open book' basically.

If you have soft-sided luggage, anybody with a pen can open the zipper by separating the teeth. Easy. And then your bag is basically toast because the zipper teeth are never as strong after that, even if you get the zipper to work again. So I'd much rather someone just open the zipper as it was meant to be openned than bust through it with a pen - so I don't use cable ties or locks.

I used them in May on the way over and back. No problem.

This short YouTube video convinced me that locks are useless on zippered luggage.

http://www.youtube.com/watch?v=W_G35RujB_c

Any recent experiences that indicate that these locks are still ok to use flying US/Europe and return?

{noting their lack of any true security}