On each units description, you'll find speed, and battle speed. Tests were done to determine how speed impacted marching times.
Lockstep will decrease marching times by .5% per level.
Any hero loaded with a unit that has a movement speed of 6+ will be not be slowed down.
The only unit with less than 6 speed, is siege weaponry (5 speed) and it increases marching time by ~8.5% (with lockstep 8, should be ~12.5% without any lockstep but need verification)
The only time your marching speed will be hampered is with siege weaponry, and even then it's so minimal it doesn't really need to be taken into account.
It is unkown whether lockstep is calculated per unit or for the entire hero's group so data may be slightly off with the advance or decrease of lockstep levels.