The best thing to use is OS X’s built-in File Vault rather than a third-party program. With File Vault, you can set another password that acts as the encryption key for your files and folders. You need to set it up as an administrator on your Mac, so login as an administrator if you’re not already.
The process of encryption may take a while, depending on how many files you have. And you need enough free space on your hard drive, too. See Mac OS X 10.6 Help: Encrypting your home folder with FileVault.
Just don’t forget your master password! The encryption strength will prevent you from decrypting your files, and they will be gone forever.