if our luggage is checked through to Athens, we won’t have to claim it
and recheck it, correct?
I believe that is correct, however, just in case the airline returns your luggage for layovers more than a certain time, check with you airline to be sure. Make sure the luggage tag says 'Athens" (ATH). I've heard that some airlines, for extended layovers, send the luggage to baggage retrieval, and you have to recheck it before continuing, but I don't think this will happen in your case.
are there lockers for this? Where?
I don't know. Never needed them. Maybe Jo can tell you.
is the train the best way to get to city center.
Yes. The S-Bahn to Frankfurt leaves from the Regional Bhf, which is under the transit building on the other side of the access road from Terminal 1. You don't have to cross the road, there are escalators just inside the outer wall of Terminal 1 that go to the passageway that goes under the street to the Bahnhof.
By the way, our own Ms Jo leads a Frankfurt tour, Frankfurt on Foot.
On the way back to the airport, we just have to get through security
Correct. When you arrive in Frankfurt, before you get out of the transit zone of the airport, in order to enter Germany, a Schengen country, you will go through immigration (passport control). When you leave for Greece, another Schengen country, you will not need to go through passport control again. That's the whole idea of Schengen.