In the Finder, open a new window. Find your mounted (GUID) drive in the sidebar.
Control-click on the drive in the sidebar, then choose "Encrypt <drive name>." You are now prompted for your password and a hint (which is required). You will get no feedback, so wait for a few minutes; the time depends on the size of the drive.
The drive should unmount and mount again. Once this happens, your drive is encrypted.
If you choose your startup volume, this will enable FileVault II. Other drives do not enable FileVault II.
[kirkmc adds: I, for one, think this is pretty nifty. I know a lot of people who have two drives in an older laptop, where they replaced the optical drive with an SSD. Being able to encrypt the non-boot drive is quite practical, and being able to encrypt a portable drive even better.
It should be noted that there's no feedback during the encryption process. The only way you know something is happening is if the drive has an LED that shows read/write activity. And the process can take a long time; even for a 1 GB flash drive, where I tested it, it took several minutes.
Another thing to note is that an encrypted drive doesn't show up in Disk Utility. So if you need to erase that drive, you have to right-click on the drive's name and choose "Decrypt <drive name>."]

