In Disk Utility you can make a new disk image, select that you want it encrypted, and set it to be a "sparse disk image" that way it will only take up as much space as the stuff inside of it. Mount it when you need it.
Otherwise, you can make another account on the computer, go into that account and make folders and put things in them that you want protected, then set the permissions for everyone but that account as "No Access" or "write only".