How can I lock my phone properly?

Your phone is the key to your email, your messages, your banking, and your photos. If it is lost or snatched, the lock screen is all that stands between a stranger and everything on it. Getting that lock right takes a few minutes.

Set a lock that holds up

Use a six-digit passcode or longer, not four. It is dramatically harder to guess for the sake of two extra digits.
Do not use a birthday, an anniversary, or "1234" and "0000". Birthdays are the most common PINs, and yours may be on your social media.
Turn on face or fingerprint unlock. It is faster than typing and harder to bypass, with a strong passcode as the backup.
Set the screen to auto-lock quickly, so the phone is not left open on a table.

Protect what's behind the lock

Add a separate lock to sensitive apps where you can - a banking app should ask for your face or its own PIN, not just open.
Turn on Find My iPhone, or Find My Device on Android, so you can locate, lock, or erase the phone remotely if it goes missing.
Check what is reachable from the lock screen, and hide message previews if you would rather keep them private.

If you only do one thing

Set a six-digit passcode that is not a date, and turn on face or fingerprint unlock. That alone stops most opportunist access.