To create an encrypted disk image: Start "Disk Utility" in the Utilities folder. Click on "New Image". Choose whatever size you want, turn encryption on, obviously make it read/write. Later you will be asked for a password, do _not_ remember it in the keychain because otherwise everyone who can use your computer can use it.
Quite useful for USB keychain memory sticks as well to protect secrets in case you lose the memory stick. Do the same thing, make the "New Image" on the USB stick as large as possible. Here you _can_ remember the password in the keychain, because anyone finding the stick when you lose it will _not_ have access to your computer.
If you want to make an encrypted copy of a folder, do "New Image from folder" in the menu. You can both encrypt and compress the folder.