I originally asked this question which never got an answer beyond the fact that you apparently can't do this on a Mac. So finally I've given up and have fired up my Windows gaming box just for this purpose.
Now I can run VeraCrypt (a TrueCrypt fork) and use it's "Portable Mode", but I can't for the life of me actually get it to work such that I have an encrypted partition that can be opened on both Windows and OSX. And the docs basically assume everything "just works" and haven't proven to be very helpful.
At the moment I have created a USB stick with a very small unencrypted FAT partition which can be seen by the Mac, and a FAT VeraCrypt encrypted partition which can be seen on Windows and the mac. It mounts fine with the password on Windows, however when I run VeraCrypt on the Mac and try to mount it, I'm met with an error:
VeraCrypt requires OSXFUSE 2.3 or later with MacFUSE compatibility layer installer. Please ensure that you have selected this compatibility layer during OSXFUSE installation.
Some googling on that error message has just left me more confused.
Given that I'm running OSX Mavericks, and this image must be accessible to both Windows (versions >= XP preferably) and OSX (Mavericks or higher) without installing anything special (stock OS in other words), what do I need to do to get this to work?
Note also that I don't care about hiding the fact that VeraCrypt is being used, and I will not upgrade from Mavericks. I just want to be able to store some sensitive documents securely such that they can easily be moved between workstations and opened on either Windows or OSX by anyone with the password.