Lock it up

A good practice on any computer is to lock the screen when you leave. There are several ways to do this:

First, set up your screen saver to require a password to get back in. This way if you forget to lock the screen it will automatically lock after a few minutes.

OSX
In System Preferences | Security
Check "Require password to wake this computer from sleep or screen saver."

Windows
Display Properties | Screen Saver
Check "On resume, password protect my computer"

Second, make a habit of locking your screen every time you get up

In OSX, you will need a shortcut to start the screensaver. I use the hot-corners function so that when I place my mouse in the top corner, the computer locks. You could also enable "Show Status in Menu Bar"

In Windows, you can press the windows key and the L key at the same time. This will lock the computer.