How to “lock my iPhone’s screen “ ?

The phone screen does not need to be locked if doing iCloud Backup via the Backup Now option.

If you want it to backup automatically while it is charging, you can lock it via the right side button or do what I do and just let it lock itself based on the time selected in Settings > Display & Brightness > Auto-Lock.

The button on the right side of the phone. -- The only one there is on that side.

Also see the "Side button" in the "External Buttons and Connectors" section of iPhone SE - Technical Specifications - Apple for a picture.

It’s on the right side of the phone, near the top of the phone.

2 in this picture: