How do you lock the iPhone

You need first to add a passcode

6 characters are more secure than 4

Then when you turn the screen off with the side button, the phone is now locked.

While checking or adding the passcode in

Settings, TouchID and Passcode or

Settings, FaceID and Passcode

Make sure the Require Passcode is set to “Immediately”

Naturally if you use FaceID and “Raise to open” it may appear to you that it isn’t locked

Get someone else to try (once!)