Locking phone

Basically, erase it, but don't remove it from your device list.

See If your iPhone, iPad, or iPod touch is lost or stolen https://support.apple.com/en-us/HT201472. And, see this heading If Find My [device] is enabled on your missing device. See step 6.

"Erase your device. To prevent anyone else from accessing the data on your missing device, you can erase it remotely. When you erase your device, all of your information (including credit, debit, or prepaid cards for Apple Pay) is deleted from the device, and you won't be able to find it using the Find My app or Find iPhone on iCloud.com. After you erase a device, you can't track it. If you remove the device from your account after you erase it, Activation Lock will be turned off. This allows another person to turn on and use your device."

As long as you had Find My enabled on it, activation lock is already active on it. You don’t have to do anything to execute activation lock. Just do not remove that device from your list of tracked devices in your iCloud account.