Disk Utility is your best friend!!!!!
1. Open disk utility
2. File>New>Blank Disk Image
3. Select name, & size. Encryption will be 128, or 256 whatever you choose (if you choose none you cannot choose a password). Image format you can choose a spare partition, which makes the disk size only as large as the items in it(think of it as a flash drive if you choose sparse).
4. Click "create"
hope this helps
This is exactly what I do for private stuff; works awesome!
2. File>New>Blank Disk Image
Does that allow you to create encrypted .zip files though???
Thera are a few actually. For instance:
Keka (free) http://www.macupdate.com/app/mac/32512/keka
or Archiver (shareware) http://www.macupdate.com/app/mac/33398/archiver