Can I password protect a folder on my MacAir?

I have MacBook Air 13" running on OS X Yosemite v 10.10.2. My computer is password protected.

I would like to password protect file folders ( under Documents) so even if I leave my computer on, someone cannot just open up some sensitive files. How do I do that? If not by folder, do I have to password protect each file? How do I do that?