How do I lock myself?

Only your owner can lock you (but you can set yourself as your own owner).

To lock you, your owner needs to have the key. If he doesn't he needs to get the key. If you are self-owned, you can just look for the key in your inventory - it should say "Key to (your name)'s LULU Signature (toyname)".

To lock you, he has to wear the key.

If you are close by, he can lock you straight away. If not, he can summon you to crawl over or come over. If you are cuffed with the Signature Cuffs, you will hobble over in the current cuffed position - but if you are in a no-move position, you will not be able to move.

In addition, like a real key, your owner needs to be facing you to be able to lock you.