Launch Disk Utility
Select File -> New -> Blank Disk Image
Save As: MyPrivateFiles (probably should choose a sneakier name)
Where: Documents (or wherever you'd like to stash it)
Volume name: My Private Files (or whatever you'd like to call it)
Volume Size: 100 MB (make it big enough to hold all the files you want to hide)
Volume Format: Mac OS Extended (Journaled) -- stick with the default
Encryption: choose something other than None
Partitions: Single partition - Apple Partition Map -- stick with the default
Image format: sparse disk image -- this will minimize disk space required for your hidden image file
Create
I think it mounts it automatically for you. It's treated like an external drive, shows up on your desktop, needs to be ejected when you're finished, etc.
Double click the image file to remount it. Make sure NOT to save the password in your keychain or you've just defeated the purpose of the file. ;-)
PS, keep in mind that unless you exclude this file from time machine, every time you make even the smallest change of a file inside the encrypted disk image, the entire image file will be backed up by Time Machine.