I'm running Live Ubuntu 12.04. I don't see the 'Lock screen' button under the top right gear button. The shortcut Ctrl + Alt + L doesn't work either.
Simple solution - you can't. Ubuntu Live Session User does not have password. If user does not have password, locking screen is meaningless.
However, you CAN create new user, and give him a new password. I believe, if you log in as this newly created user, you should be able to lock screen.