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Enable (check) "Require password to wake this computer from sleep or screen saver" in the Security preferences (in System Preferences). Then set a screen saver.
 
Open Keychain Access, open Preferences, select "Show Status in Menu Bar". Then whenever you want to lock your screen, you simply select the lock icon and select "Lock Screen".

Or You can use AirLock, as it will allow you to lock and unlock your computer based on the proximity of your iPhone to the computer - http://themha.com/airlock/index.html?s=a

TEG
 
If you want a nice, quick way, go to System Preferences and require a password immediately after sleep or screen saver begins. Then, go into Exposé and Spaces in System Preferences, and in the Exposé tab, set one of the screen corners to put the display to sleep. Pop your cursor to that corner, and boom - locked screen.
 
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