One nice feature in Windows is you can press Windows Key + L and lock you screen quickly.
You can emulate this behaviour (to some extent) on the Mac without additional software. The keys CTRL + SHIFT + EJECT will put your display to sleep. However, by itself that won’t lock your screen.
What you can do though is also go into System Preferences > Security & Privacy and select “Require password for sleep and screen saver” and set that to occur immediately (any other setting will cause the relevant delay before prompting for password. That may be what you want (e.g. if you want a 5s grace, use after 5 seconds).
One caveat, is that whenever your display goes to sleep, you will need to type in your password to get back in. Perhaps that’s annoying, perhaps that improves the security of your mac.
If you do want to try out a 3rd party lock screen, have a look at QuickLock App. If you go down this road, and don’t read the instructions like me, once you lock your screen, to unlock you actually type the characters in your password (no need to hit enter or anything at the end). If you get them correct, the screen will unlock. There’s no unlock password entry text field or button to press. I found this really counterintuitive, due to the lack of feedback. Personal preference I guess.