If you lock the file, they won't be able to Save it...but they WILL be able to Save As... For that matter, I would be completely shocked and surprised if there wasn't a tool out there for ripping a PowerPoint presentation out of one of these "movie" files. In this case, the "read-only" only makes it more difficult to rip off, not impossible, so that's probably the only solution you'll have available to you.
Hmm, here's one I haven't tried but might be worth giving a go. Create a Keynote presentation that launches a second Keynote presentation and make the second one invisible on a .dmg. The question being, would the first one be able to find the invisible one?
This way, the only thing they could easily drag off the .dmg would be the visible one. Like I said, don't know if it would work AND it's still defeatable but the only REAL way to protect your content is not to share it! 🙂