You might already know what lampshading is and might only be asking how it applies to this situation, but I'll go through it for the sake of anyone who doesn't.

Lampshading (or lampshade hanging) is a writing technique (some would say crutch) wherein something happens in the story that is unlikely and unrealistic, and the writer attempts to cover it up by drawing attention to it, having a character or the narrator point out how unlikely it is. By having the characters complicit in the acknowledgement that what just happened is a convenient coincidence that they can't make sense out of, it makes the unlikely event easier to swallow, because sometimes these things just happen.

In the first two chapters, it seems a bit unlikely that the Salvaras would fall so quickly and so fully for Locke's setup. Everything is just a little too convenient about his game.

But Lynch takes the interesting and unusual route of having Locke not simply lampshade it to the reader (by saying, for example, how lucky it is that everything worked), but by building the lampshade right into his plans. He anticipated that the Salvaras might become suspicious of the too-convenient coincidence of their meeting, especially as he asks for more and more money from them.

By sneaking into their home, pretending to be Midnighters, and explaining everything to Don Salvara, Locke is acknowledging that it's unrealistic that the Salvaras would simply buy everything he's been feeding them. But because he understands that, he's essentially lampshading the unlikeliness of his own plan. By doing this, he gets the Salvaras playing along with him even though they know what he's up to. If he hadn't done that, then realistically the Salvaras might have started to suspect him anyway.

It's like a writing technique used within a writing technique. Lynch gets away with creating an unlikely plan by having it seem completely realistic that his characters created an unlikely plan, and by making it clear that they understood how unlikely it was and made further plans to adjust for that. It's actually fairly clever, I think.