There are several ways to lock your mac. I have listed most commonly used four ways you can lock your mac and each one of them fits different user set.
Method 1 (for mouse and touchpad users): One of the most easiest way is this one, open spotlight by pressing Command+Space and start typing to open Keychain Access.
Once Keychain Access is open, go to preferences and check following option.
Once you have set above settings. Your menubar will now have a new icon which will give you neat options to lock your machine.
I like above method becuase once you come back to login screen it shows neat burred desktop background and account pic. You can also set you Mac to lock by this other method but it when you come back to login. The screen will be all blank with account name and a field to type your password. Not sure why these are two different screens but looks like Apple didn’t give much f*** about it.
Method 2 (Most convenient one): If you are apple fan boy or gal and if you have an Apple Watch, then that is the most convinient way to unlock your Macs.
To enable unlocking with your Apple Watch you have to be logged into iCloud on both iPhone and Mac. Once you have your iCloud accounts set, go to Security and Privacy and check following option.
Enter your account password and you’re set. Now all you have to do is wear your watch and just wat to your Mac to unlock it. Move away to lock it automatically. It is that easy.
Method 3 (keyboard shortcut) : There is another way if you are coming over from Windows side.
Make sure to enable “Required password after sleep or screen saver begins” is set to “immediately”. You can do this in preferences.
Then, use keyboard shortcut control + shift + eject to put screen to sleep to lock your screen.
Method 4 (and the coolest way to lock): For new Macbooks you might not find an eject key. You can use programs like KeyRemap4MacBook to remap any unused key to eject function.
If you have one of the new 2016 MacBook Pros with touchbar then your life is way too easy. Edit your touchbar to add lock button instead of one of the four available slots. I got rid of Siri.