A client mentioned to me that she was keeping confidential information on a thumb drive that she's been carrying around between her home and office.  When I asked about the type of the confidential data, I followed that question by asking -- if the drive were lost, would that cause a significant problem.  Of course knowing the answer, I then suggested encrypting the thumb drive. 

This will be a two part post, probably with a separate title -- one for Mac and the other for PC. 

Starting with Mac, we pull up the Disk Utility tool:

We highlight the volume we'd like to protect, choose Erase, and we select Mac OS Extended (Journaled, Encrypted):

We choose a password and verify:

Next, we're going to choose Security Options:

We're going to slide the needle over from Fastest to the first position to make it a little more difficult to compromise in the event the drive is lost:

And finally, we're going to start the process by choosing Erase:

This will take some time...

When the process is complete:

We can now eject the volume.  When we insert it back into the machine, we get prompted for our password:

This setup will ONLY work with the Mac platform.  In other words, if you insert this into a PC, you will not be able to do anything with it.  Most people I know who use Mac at home are using Mac in the office.