Locke was handed a contract until the end of next season on the eve of the Scottish Communities League Cup final after impressing the club during his spell as caretaker, but now faces a challenge to lift his players following their 3-2 defeat by St Mirren.
However, Stevenson is equally keen to raise the spirits of his manager after the Hampden disappointment.
Stevenson, who scored both of his team's goals and hit the woodwork twice, said: "For the players, really now it's about trying to repay the faith that he has put in us.
"Everyone knows what the club means to him. He has been a breath of fresh air since he came in and we want to finish the season as strongly as we can for him."
Locke's appointment on Saturday came as a surprise even to the former Hearts captain himself.
Stevenson said: "I think the club have done the right thing. It gave everyone a massive boost on Saturday because he has been fresh air.
"He has worked tirelessly getting his badges. You just know what it means to him, he is Hearts through and through. Allied with that, he is a good coach and was a good footballer, and he knows what he is talking about.
"I'm just really disappointed - it would have been some story him getting the job and then winning the cup the next day. All the boys are bitterly disappointed."