Not sure encryion is even needed unless this is classified files! Physical security is more needed when a USB key is being used! Finding the same port on both computers might be more importance right now!
In your use case the zip-option is probably the best. Simply zip all the files with a strong password. After that you can unzip the files on both Windows and Mac using the password. Needless to say: Don't forget the password! This is quite safe and strong assuming you don't work for the NSA and/or state security is at risk. If you work for the NSA or are involved with state security you probably would not ask this question on MacRumors anyway.