Just select the volume that you'd like to encrypt and then click 'Create Volume' to encrypt it. TrueCrypt takes you through the encryption process step-by-step via a handy wizard. This is far more secure because when you restart your Mac or turn off your computer, the volume will be dismounted and files stored in it will be inaccessible and still encrypted. The other good thing is that TrueCrypt never saves any decrypted data to a disk – it only stores them temporarily in your RAM. Some encryption programs that work on-the-fly prevent you from doing so easily or add a delay to the transfer but that's not the case with TrueCrypt. The good thing about TrueCrypt is that it doesn't get in the way of you dragging and dropping files. This encryption extends to entire file systems such as file names, folder names, file contents, free disk space etc.
Nothing can be encrypted or decrypted without using the correct password or encryption keys. This means that data is automatically encrypted or decrypted immediately before it is loaded or saved. TrueCrypt aims to do this by allowing you to encrypt data 'on-the-fly'. One way to prevent such compromises is by encrypting data. If you're on the move regularly or your hard drive is accessible by third parties then it's always vulnerable to attack, or open to spying by prying eyes.