I like using Control + Shift + Eject to lock my screen quickly. The Eject key does not exist on my Microsoft keyboard, and there does not seem to be easy way to do map another key to that key through System Preferences.
How can I map a key on my Microsoft keyboard to the Eject key?
Otherwise, how do I create a new shortcut for locking my screen?
The eject key unfortunately does not have a key code, so either they keyboard supports it or it doesn't, and you have to make a workaround. You can create a new shortcut by following these steps:
Open Automater and create a Service with a single "Run AppleScript" action, containing the following code:
tell application "Finder" to sleep
Make sure the Service is set to receive "no input", and work in "any application". Save it with a name of your choosing.
Go into Keyboard preferences, click on the Shortcuts tab, and click on Services. The newly created service should be near the bottom. Click on the service, then click on "add shortcut", and specify a shortcut to your liking.
You may have to give Automator access by adding it to the list of applications in Accessibility under the Privacy tab in Security and Privacy.
That's it! Now you can use that shortcut from anywhere to sleep your Mac.