Edit the file /etc/inittab. At the top should be a line
Change the 3 to a 5 and it will boot into init 5 by default.
I would look in your control panel or whatever your desktop uses. There should be a screen where you can configure the screensaver. There should be a check box that says "Prompt for Password on Resume" or something like that. Check the box and hit "Apply" or "OK" and it should start prompting you. There also might be an option to set a time before it prompts. Mine I set to like 7 seconds (make sure it isn't set to a couple of minutes or something). That way if it goes to sleep and the screen saver starts, I can just wiggle the mouse real quick and I won't have to enter my password.