The way I do this is to use a “hot corner”. In OSX you can set up your Mac to perform different tasks when you move your mouse up to any one of the four corners. If you open System Preferences, then Exposé and Spaces and make sure you’ve got the Spaces tab open you’ll see an Active Screen Corners section at the top of the window. I have the bottom right hand corner set to Start Screen Saver. Because I have set Require password to wake this computer from sleep or screen saver in the Security section of System Preferences, when I throw my mouse into the bottom right hand corner of the screen it automatically locks itself for me.

It’s a simple solution that works well for me.

Another way you can lock your machine is to use the Keychain Access application (/Applications/Utilities/Keychain Access.app). If you load this and then open Preferences you’ll see a Show Status in Menu Bar option on the General tab. If you tick this you’ll see an unlocked padlock appear in your menu bar. From now on if you want to lock your machine you can click on the padlock icon and then select Lock Screen. I personally don’t use this solution because it requires more dexterity than just throwing the mouse into a corner of the screen, but it’s another option that you might lie to use.

So, there you have it — two different ways of locking your Mac’s screen under OSX.