Couldn't find how to lock device on screen off or/and Wake Up.
I know i've used this one
[APP]LockDevice [2009-08-26]. Ultralight app to lock after wakeup - xda-developers
by Daniel Herrero.
Need to configure:
Just go to Start/System Tools/LockDevice.
Also if you don't want to click on power button(like me) to lock/turn off screen, you can install this cab "Screen Off"
Then just add Icon to your home screen.