TIP: if you are using an image as a reference, actually is NOT a good idea to explode it.. that's because if you explode an image you lose the ability to see and reference it when you are editing a group from INSIDE. i would reccomend to group the image itself instead of exploding it, and then lock this group.
ADDITIONAL TIP: sketchup can't create a group out of a single element in selection. a workaround to group a single element (in this case your image) is to draw a temporary segment, group it with the face and then edit the group and erase the temp edge from inside.
now you should have a single image grouped alone and you can lock it, but you can still reference it from inside another group.
ADDITIONAL ADDITIONAL TIP: a variation of this tecnique can be used to properly scale a reference image. you need to draw the temp segment tracing a known-measure edge over the image so you can use the tape measure to scale it decently..
hope this can be helpful.