If you mean the screen just goes black, but it doesn't ask for a password to make it 'awake' you can either press the button for quicker locking, or you can just let it sit idle
if you mean when the screen goes black, it asks for password: Go to Settings>General>Passcode Lock and set that up.
i think the most pointless question i've ever read on MR was someone asked "how do YOU hold the phone when you talk?" Do a forum search and you'll find it.
but like i said, the OP definetely is in the running!