Create your own secure disk image for a file. Go to Disk Utility, file and new blank disk image. Fill out volume size and name and then it will ask for password etc.
in general, there is no way to password protect single files in OS X (there are some exceptions to that like pdf documents). you can change permissions on the file so only the current user has access to it. if that's not enough, you can save it inside an encrypted disk image as was already mentioned.