How do i lock the screen on my iPhone 6?

you mean just so the display goes dark?

You'd press the power/sleep/wake button..

Or if you have Settings > Display & Brightness > Auto-Lock set to something other than 'Never', just let your phone sit for that amount of time and it should lock on it's own.

or are you saying that you don't have a passcode set and you want to set one?

Use a passcode with your iPhone, iPad, or iPod touch - Apple Support