This is a short tutorial about how to enable and quickly lock your Mac screen.
Firstly you will have to enable the Lock screen like in the picture below. It is up to you which time interval to use:

Now, you can use many ways but the best is the keyboard shortcut:
macs with eject button: Control+Shift+Eject;
macs without eject button: Ctrl+shift+power or command+Alt+Ctrl+Shift+e.

PS: I do not have Mac without eject button (Macbook Air for example) so if these shortcuts do not work for you, please let me know.