As a person who always feel the need to lock the computer before leaving it I feel the need of have the locking process close at hand. This is the only reliable way I found of locking the computer with a keyboard shortcut.

Open System Perferences and navigate to Keyboard. Press App Shortcuts in the sidebar and click the "+". Select "All Applications" in the Application Dropdown. Menu Title should be "Lock Screen" and then select your wanted keyboard shortcut, I use ∧ + ⌘ + L.