Easily encrypt your Mac with the built-in FileVault.
Turn FileVault on to make your files are unreadable if someone else gets hold of your computer while powered off or locked.
How: System Preferences > Security & Privacy > FileVault
Set a password for your account and disable automatic login.
Remember to require your password after your Mac sleeps and of course, use a strong, lengthy password. Note that Disable automatic login has been removed from macOS Sierra.
How: System Preferences > Security & Privacy > General