How to deal with a nosy fellow graduate student?
In my experience, when it comes to dealing with people with boundary problems, you have to talk to them (in private).

This isn't nice (it might come off as unfriendly), this isn't fair (you just want to do your work, not deal with this issue), but it's the best course of action -- both for your job satisfaction and (in the long run) for the other person (if he can learn from feedback).

Framing the conversation is going to be difficult -- I'd suggest "I" statements ("I notice that you look at my material ...") and framing the issue as your perception ("I perceive this as nosy. I'd like to talk about my work, but I see this behavior as an intrusion of my privacy."). Given that probably most people would consider his behavior as "nosy", you might even point out that other people might regard this kind of behavior badly too. Hmm, just stick to describing the behavior and avoid making judgments about the person. You can change behavior, you can't (easily) change the person.

(Note: I might be biased here. I recently tried to solve a boundary problem via non-verbal communication, only to notice -- again -- that people with boundary problems don't notice non-verbal cues (correctly or at all). If they did, they would not have crossed boundaries in the first place. So non-verbal "cues" are either overlooked, ignored, or they react in the opposite direction of the desired effect. For example, they notice that a person is distancing himself from them, so they move in even closer. Addressing the issue verbally is anything but easy but I think it's the way to go.)