1.- Set your screen saver to lock your station:
Settings > Brightness and lock and set on the lock options:
2.- Set your account to do autologin
Settings > User accounts > Automatic Login (remember to unlock the settings if you cant)
Once it is changed, Lock again the settings.
3.- Add your screen saver to be run on boot
Startup Application Preferences > Add
then add an entry for the screen saver:
Name: (whatever)
Command: /usr/bin/gnome-screensaver-command -l
Comment: (whatever)
Save.
For the locking command, I used:
gnome-screensaver-command --lock
or
xdg-screensaver lock
4.- Bonus: I like to add my email program to the start up, so similarly
Done! Next time your machine boots, the screen will be locked with your screensaver.