I've been trying to figure out how to do this forever. A recent incident that occurred to another roommate in my house reminded me about this, so I took another look. Panther (Mac OS X 10.3) will fix this, but for now there is another answer: SleepTight. This app will put up the screen saver screen lock when your machine sleeps. They point out a number of security flaws which still exist on unsecured Macs, but this should be good enough to prevent casual snooping.