Just before he Enters Jacobs house Locke checks he has the gun Alex gave him.
It is tucked into the back of his pants on his left side.
When Locke Exits the house his gun is missing
Later Ben has the gun and Locke draws his knife instead of looking for the gun
Note: A possible explanation for this might be when Locke was startled by the fire, he dropped the gun and Ben picked it up before he left the house.