When we moved my now 3 year old to her toddler bed (because we were having another baby and I didn't want to buy a second crib), she was 19 months old. We made the whole process really exciting for her. We let her go to the store to pick out her mattress. I picked out a few different bedding options in catalogs and let her pick from them. We repainted the room. This was her BIG GIRL room, and she had to be a BIG GIRL now (she was previously sleeping in our bed quite often). Since you've already converted the bed, you might need to be a little creative with ways to make him feel that he is a big part of the process. My daughter was very excited that this was her room and her place to sleep and she actually started sleeping in her own bed for once.
If you don't want to lock the door, which I wouldn't want to do either, you could try leaving the door open and putting up a baby gate. You might need to get one of the really tall ones that they make for the tops of stairs to keep him from climbing over it, or one that is just bars and not a grid (so that there's nothing for him to climb up on).
You might also try asking him why he doesn't want to sleep alone in his big boy bed. Kids think funny things- like you don't love him as much if he's not a baby. Or he'll have to do things he doesn't want to do if he's a big boy. Things that are completely irrational, but 2 year olds don't have the same coping skills so they think crazy things. Maybe he's all of a sudden developed some strange fear- monsters in the room or something. My 3 year old goes through these phases.
I think you do want to nip this having to sleep with him thing in the bud now, or he'll be 4 and you'll still be sleeping with him. My neighbor had this problem with her daughter and they took a hard-line approach. For a week, any time she came out of her room, dad took her right back to her room. The first night, the first couple of times, he explained simply and short that everyone in the family has their own room. She has her own room and she has to sleep there. Put her in bed, kiss her, leave the room. After the first couple of times, for the rest of that night and the following nights dad didn't say a word but just walked her or carried her back to her room. It took about a week, but now she sleeps in her own room.
Even if you don't take the hard-line approach of my neighbor, I think you need to be firm in explaining to him that just because he can leave the room, it's not acceptable to do so. It's not an option. Kids are not dumb. As long as you allow the option, he'll take advantage or it to get what he wants (you in his room). I know it's tough to take control sometimes- especially at night when you just want to sleep. But that is our job as parents. And I'll try to remember that in a few months when my now 21 month old starts climbing out of her crib. I know she will think she can roam the house instead of going to bed! Good luck.