There are third-party apps that will let you lock files--I think one is even designed for pictures. Just one example:
http://www.collect3.com.au/picture-safe/ I'm sure there are others, I haven't used any of them.
Thanks again! I have one more question. Is there a way I can set iPhone 4 camera save photo to other folder instead of "camera roll" as default? I notice that each time I took a picture, it was saved to "camera roll" and it is almost impossible to move it from there to other folder.
Thank you so much in advance!