you can create a disk image, or more accurately a sparse image. a sparse image will only take up however much space the documents inside it take up, as opposed to a disk image, which takes up the same amount of space regardless of what's in it (i.e., a 40GB disk image could take up 40GB even if it is empty; a 40GB sparse image with 20GB of files in it will only take up 20GB, but has the capacity to hold 40GB).
go to Disk Utility and click on "New Image" at the top. choose a name and then choose what size you want it. under encryption, choose "AES-128 (recommended)" and then choose "sparse image" under format. the encryption part is the part that will lock the image until you open it - when the image is being created, it will ask for a password.
this may look like a complicated procedure, but it really is not.