In my experience, the threaded hitch pins actually work a little better for eliminating side play than the non-threaded locking hitch pins. Yeah, it's more inconvenient, but it just seems to be a better system.
Platform-style racks are definitely the way to go; easier to load, less damage to the bike and it'll accommodate odd shapes so it's future-proof if you get a bike with an unconventional double-diamond frame. The one listed above looks nice, and Hollywoods HR1000 is kind of the industry standard 2-bike hitch rack. Most folks really like it: http://www.amazon.com/Hollywood-Racks-HR1000.