I'm using Configuration Panel>Power Management to set sleep and hibernate times.
If you don't have Configuration Panel (because you didn't install Classic Shell, like I did) it's surely somewhere in the settings app.
https://www.google.com/search?q=windows+10+power+management surely will help to find it, if you can't find it using Windows' own search.
After setting it to require a password when coming out of sleep (if that isn't the default), the PC is effectively locked. But that's another setting.
I would like my computer to get locked after 5 minutes of no use. For some reason I can't find how to configure windows to work this way. Any suggestions?