If you have the "Dial from home screen" option (go to Phone dialer > Options > General Options) set to No, then you can quickly lock your device by pressing the 'K' key. This only works from the home screen, though.
I just accidently found another way to lock the device with having "dial from home screen" turned ON. I hit "alt" - "enter" - "K". This locks my device. I hit it in that order. You dont have to hit them together but it works.
I have my left convenience key set to lock my BB and the right side key set to bring up the profiles app since there is not a dedicated speaker on off switch like on the Treo.
Just turned off dial from home screen option and have started learning the shortcut keys to speed things up a bit. I realized I have never actually dialed a number from my home screen since I look them up in my address book or use the speed dial from the phone app.
Remember, No matter where you go, there you are!