Hello community,
I just bought a Kingston USB Stick of 32GB and I wanted to set a password for it. I followed the simple steps below:
1. Insert your NEW* USB stick.
2. Go to Disk Utility (to do it fast: Spotlight>Disk Utility),
3. Go to the left sidebar and choose your USB which is appeared in the External option.
4. On top of the window you will see the icons First Aid, Partition, Erase, Unmount and Info (Choose Erase).
5. Next you will have to name your USB and make sure that the Format is OS X Extended (Journaled).
6. Write and confirm your password,
7. Fill the required field with a hint,
8. Click Erase,
9. The encryption process just started,
10. Do not eject your USB for some time (I do not know how much).
*If you have an old USB stick and you simply want to add a password you have to save your data somewhere else first, before starting the process, because you will lost them.
To make sure that your USB has been encrypted you can either double click on USB's icon and click Get Info or go to Disk Utility and choose Info on top of the window and you will get a piece of information for your USB (3rd Picture_Is Encrypted---Yes). Take a look at the pictures below.
My System: iMac (Late 2014) with OS X El Capitan.




Hope I helped!
Good luck!
John