Ken,
Watie reports that 6 men were captured and 2 killed of the 1st Cherokee Regiment at Locust Grove (SOR, vol. 2, p 20-21). He does not give any names.
A cursory check of the compiled military service records reveal the following names:
William Penn Adair, Quartermaster (no mention of release/escape/exchange)
Richard Fields Martin, Commissary (exchanged Vicksburg 20 Sept 1862)
A. F. Wilcox, pvt, 1st Co. H (exchanged Vicksburg 20 Sept 1862)
Reuben Finley, pvt, 1st Co. E (list of POWs)
Johnson, pvt, 1st Co. E (list of POWs, released by Col. Weer)
George, pvt, 1st Co. F (list of POWs)
T. Guage, pvt, unknown company (list of POWs)
Those who were exchanged were held at Camp Douglas, Ill.

Mavel Anderson, "Life of General Stand Watie" (2d ed., 1931), p. 32, names Adair, Martin, Benjamin Carter (1st Co. B), Clem Vann (1st Co. B), and John Lowery Davis (1st Co. A). The latter three are not borne out by the muster rolls, however.