Follow the exact instructions for your gearbox, saildrive and propeller. This is one of the few questions where the general advice circulating in marinas is genuinely dangerous to follow.
Some gearboxes must be left in gear when sailing, because freewheeling turns the output shaft without the lubrication that only runs when the engine runs. Others specify freewheeling and prohibit locking. Some folding and feathering propellers add their own requirement on top.
The consequence of getting it wrong is not immediate — it is bearing wear inside the gearbox that appears as noise or failure much later, at cost. Look the requirement up in the manual for your specific box and drive, write it on a card at the panel, and tell anyone who sails the boat.
Drag matters far less than the gearbox does. If drag is the concern, the answer is a folding or feathering propeller chosen for the installation, not a locking practice the maker prohibits.