Who exactly are you trying to protect from? Remember you can always change permissions such that only you can access the files within. However, that won't do any good if you use one login for multiple users.
Only have 1 user on the computer, I let other people use my account if they want to do things, I can keep it logged in etc this way.
I dont want people loosing their way and accessing certain files. No way at all of locking people out?
As I said above, you need to use a password protected disk image to do waht you want to do. The keychain doesn't support folder locking.
There are a couple 3rd party applications for "Locking" files and folders, but I don't put much stock them being secure. Unless someone has a password, they're not getting into your password protected disk image.
Why don't you just create a "Guest" account with access to a few apps and/or locations and enable fast user switching? That way you get security and separation.
If you don't trust them to stay out of your stuff, either keep them off your computer or give them a separate limited account.