I have access to all sorts of secure devices at work. Therefore, I always lock my computer when I step away from it. In Windows I just press WIN+L. Macs lack that quick key combo. Here's my solutions:
- Set a hot corner to start you screen saver (and make sure the "Require password to wake…" is checked in the Security preference pane)
- Open Keychain Access > Preferences and check "Show Status in Menu Bar." Now you have a menu bar button that allows you to quickly lock your mac.
Neither option is as good as WIN+L, but it's good enough for me.