How do I lock my screen without making it sleep on macOS 10.11.3?
You can set up a hot corner for screen saver, and have the security settings to require your password immediately after the screen saver starts. This means when you go to leave the computer, you just move the mouse to a specified corner of the screen and BAM it's locked.

First, you would open System Preferences, and then go to "Desktop &amp; Screen saver". Then click the "Screen saver" tab in the top middle.

Click on the "Hot Corners" button in the bottom right. Here, you can select a corner of the screen to attach an action to.

I'd suggest one of the bottom corners for this. Since there are menu buttons in both top corners on a Mac, you don't want to accidentally trigger the screen saver every time you want to open the Apple menu or Notification Centre. I have the bottom left corner on my set to display sleep, but you can choose "Start screen saver" for a corner as well.

Second, you will need to go back to the main System Preferences page, and click "Security &amp; Privacy". In the General Tab, you can tick the box for "Require password X minutes after sleep or screen saver starts"
The "X minutes" bit is a drop down box and you can choose from Immediately or 5 seconds, up to 8 hours.

Now whenever you want to lock the screen, just move the mouse right into the corner you selected before leaving the computer and when someone else tries to use the computer, it will ask for your password.

Edit Jan 5th:
As of High Sierra (10.13), there is an option in the Apple Menu to lock the screen, which does not cause the system to sleep. Works a charm. You can also press the Control, Command and Q keys as a shortcut