| Filevault will encrypt the contents of your user folder to protect your data in the event your laptop is lost or stolen, and is part of the OS. Setting passwords on individual folders is not an easy task though it can be done from the command line. the problem is that any access of data in that folder will be blocked unless the folder is unlocked. So a photo embedded in a document may not appear or the application may not launch if the folder is locked. Also locking the document's folder would cause MS Office not to operate properly because of the files related to your personal settings and preferences stored in the Documents folder.
Using the require password to wake or exit the screen saver option is a much better solution. You can set a "Hot Corner to activate the screen saver quickly.
Also having mutable user accounts would enable you to allow others to use your MacBook with out giving them access to your files. | 
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