A root method for AT&T S4 with MF3 baseband (the current 4.2.2 build) with locked bootloader is now available: http://forum.xda-developers.com/showthread.php?t=2387577
Bear in mind however, that AT&T has announced an OTA to 4.3 is scheduled to roll out in October. Rooting now will likely either prevent the OTA or unroot your device. Of course, if you root now, you can always freeze the update program and wait until a root exploit is available for the new version (or stay at 4.2.2). Your choice.