I have been wondering how to do this with my Mac. Now that I finally bothered to actually google for it for a while, this is the best I found so far:
This adds a lock icon in the menu bar. It's not quite as convenient as Win-L, but does the trick.
open /Applications/Utilities/Keychain\ Access.app/Contents/Resources/Keychain.menu
From donmontalvo at apple.stackexchange.com