How do I remotely lock a lost iPhone?

For one thing it is locked already with the passcode, as long as one was used. No one can get into the device without that passcode and if it is entered incorrectly too many times it will be disabled. Also they will not be able to reset the phone, because it is locked with the Apple Account and Password that is signed into it. That is known as the Activation Lock.

With that said, you can mark the device as lost with Find My. This allows you to enter contact information to display on the screen if it is found. Be careful with this as scammers can use this number and pretend to be from Apple attempting to get your information for them to access the device.

Mark a device as lost in Find My on iPhone - Apple Support

You can also remotely erase the device with FindMy. Both of will appear as pending until the device is able to get a connection to complete the action.

Erase a device in Find My on iPhone - Apple Support

Additional information about what to do when a device is lost can be found here:

If your iPhone or iPad was stolen - Apple Support

Was the phone protected by a Passcode and was the phone signed into Find My? Assuming it was, you can't really lock it as it would already be locked. But if a passcode was not used, nor was the phone signed into Find My, there is nothing you can do remotely with the phone.

See what Apple recommends here --> Find your lost iPhone or iPad - Apple Support

The passcode.....assuming one was set up on the iPhone.....will protect the data on the phone unless the passcode is a very simple easy to guess phrase like 000000 or 123456, etc.

Someone who tries to guess the passcode will only get 10 tries before the phone locks out and will not even allow any more passcode attempts.

As a further precaution if you are still concerned about the data on the lost phone, you could remotely erase the data on the phone using Find My, assuming that you have a backup of the phone on iCloud or a computer.

Find your lost iPhone or iPad - Apple Support