Locking the screen in OSX is possible, the combinations however differ between models, examples are from the machines I have tried it on:
Mac Pro standard Apple external keyboard:
⌃ + ⇧ + ⏏ (Control + Shift + Eject)
MacBook Pro keyboard:
⌃ + ⇧ + <power> (Control + Shift + Power)
Apparently the power symbol (IEC 60417-5009) is not easily available, it is not in the list of mac symbols I have been able to dig up and it is not represented in the unicode table. You can read more about an initiative to get it included on: http://unicodepowersymbol.com/
Or if you use Alfred you can simply write lock