Be sure the files you want to protect are in the same folder in the Finder.
To create a disk image from a disk or volume, select it in the list of disks and volumes.
Choose File > New then the type of image you want to create.
To create a disk image from a folder, choose “Disk Image from Folder.” Select the folder you want, then click Image.
To create a disk image from a disk or volume, choose "Disk Image from disk name."
Type a name for the image and choose where you want to save the image.
Choose one of the disk formats from the Image Format pop-up menu.
To require a password to access the contents of the image, choose "AES-128 (recommended)" from the Encryption pop-up menu.
Click Save.
If you chose to use a password, enter it in the dialog that appears.