A very simple workflow to lock your screen using a hotkey. I use ⌘-L (Akin to the Windows ⊞-L).

You must have "Require password <immediatly> after sleep or screen saver begins" setting turned on in System Preferences > Security & Privacy. It will not lock if this setting is not on.

Alternatively, you can change the workflow to the system command Lock and it will lock your Mac, I prefer the other setting as it does not interfere with running apps, whilst Lock does interfere with some apps.