Jerel will tell me if I am wrong but, Locke & Key #1: Welcome to Lovecraft arc, is the first proper appearance. There are glimpses of the world etc in Joe hills other books, prior to this, i.e Spider-man Unlimited and Grave Tales #6. Locke and key also appeared in the preview books IDW: Coming Attractions #1 and the tenth anniversary books but I don't know if these pre-date the Locke and Key #1 mentioned
The Locke & Key Universe can be spotted throughout Joe's previous works. Spider-Man Unlimited #8 and Grave Tales #6 and could be considered prototypes to characters and their actions. Heart-Shaped Box has alot of elements from the Crown of Shadows arc. Bits and pieces of tone can be seen Joe's short story collection 20th Century Ghosts too. The first "preview" book was Doctor Who Classics #2, followed by Cory Doctorow #4 and Dominatrix #6. But, the very first appearance would be found in Locke & Key #1. Dodge making a cameo in #1 before her/his/it's first full appearance in L&K #2(that's one to watch-as he has proved he is no bumbling comic book villian). Dodge's appearance and voice mannerisms(no leafy crown or broken voice) were later changed in the DF's, Special Edition, $1 book and trade. This might make the first and second prints more desirable, because of his original unaltered first appearance. Knesia Solo's acting might boost sales too.