No it is illegal to lock the tenant in or out because you have entered into a tenancy agreement with him that means he has the right of entry and usage of your property as per stipulated in the tenancy agreement. Whether he miss his rental payment is not the issue here. Unfortunately in cases like this you have to go by the procedure by sending him letters requesting him to pay up, letter to terminate the tenancy, and if he still doesn't entertain, make a police report and then find a lawyer to seek court order to enter the property. The court bailiff will enter together as well as a valuer if there are valuable belongings inside that you can auction off to recover whatever that he is owing to you.

Most likely is that you will incur more losses as there won't be a lot of valuable things from a tenant who cannot even pay the rental but this is how it is.

Or you can report to police and talk to them see if they can talk to the tenant, ask them to leave after you've terminated the tenancy. Sometimes the same word delivered by police can be a lot more powerful than the same word delivered by yourself. Then afterwards show some gratuity to the police officer that helped you, i think you know what to do.