Disk Utility -> New Blank Image -> Set size generously, Encryption to AES-128 and Format to sparse disk image (that way the image will only take up the space of whatever you put into it). Choose a safe password and verify it
but remember to uncheck the Remember password (add to Keychain) check box (this also applies the first time you open it).
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You will then get a sparseimage file that opens up like any disk image, but requires password to do so.
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Edit: Too slow... shouldn't have bothered with the screenshots...