Is there a way to password protect individual apps?
Regarding your comment on Paul's answer, wanting to leave your computer for a moment: you have to lock your computer. Period.

Open System Preferences, click Security (top row, second to last option), under the "General" tab, check the box for "Require password [immediately] after sleep or screen saver begins".

Then, when you go to walk away from your computer;

Ctrl ⌃+Shift ⇧+Eject ⏏

(Additional notes: Click the above line.)

Lock your Mac. Walk away. Come back, enter your password to unlock it. Secured console.