PGP (or GPG) could be used, but it'd be unnecessarily complicated. You'd have to unencrypt a file to work on it, then reencrypt it when you're done...
The solution: Make a disk image. Go into Utilities and go to Disk Copy. Make a new image big enough to fit all the files you need encrypted on, and select the encryption option.
Now you'll be asked for the passphrase you encrypted the disk image with when you mount it. After that, it acts like a normal disk, but when you unmount it, you need the passphrase to mount it again. Or you can add the passphrase to your keychain.
I'm not sure how good the encryption on it is.