I have just upgraded my Nexus device to Android 5.0.1 from 4.4.2 and I can't find a lock button. Previously, you could tap your picture in the setting pull down menu.
I'm not asking how to set a lock timeout or how to have it lock when I turn the screen off/push the power button. I know how to do that and usually I don't want my device to lock when I turn the screen off. However there are times when I know I'm going to step away from my device and want to explicitly lock it without having to wait for the timeout.
Is this a feature they have entirely remove with 5 or is it just hiding?
Yes, they have removed this toggle in the quick settings menu. Custom ROMs may be able to restore the toggle.
AFAIK, there is no option to manually lock the device on Lollipop.
You can use 3rd-party app such as Lock Screen App (free) that has Device Administration privilege to force lock the device (similar to Android Device Manager).
On the other hand, maybe you can try the new "Smart Lock" feature to prevent the phone locking when turning off the screen.
You can set it to keep your phone unlocked when you have a trusted Bluetooth device connected to it, when it's in a familiar location like your home or work, or when it recognizes your face.
If "Smart Lock" is active and "Power button instantly locks" is set, then you can manually lock the screen by tapping the "lock icon" on the bottom of the lock screen.
After tapping that, Android will confirm it by displaying a message,
Device will stay locked until you manually unlock
Yes there is a way without resorting to 3rd party apps or jumping through hoops:
1) Check that you have some kind of security set up (PIN, Pattern, Password) or you can't get a lock icon. To do this, go to Settings -> Security -> Screen security-Screen Lock and choose a method. "Swipe" is not a security measure. (For Smart Lock, see note below)
2) Press the device power button twice in quick succession. (The first time, the phone will start to go to sleep, but you needn't wait until it completes - just press again to wake it before it completes the sleep process.) Some devices call the "power button" the "lock button" which is what yours is about to become.
3) The lock icon (a padlock) appears bottom center of screen.
4) Tap the lock button.
5) The device locks instantly with the message "Device will stay locked until you manually unlock".
6) It means it - none of your Smart Lock features will override that statement. If you want to put the device to sleep immediately, you can do so.
I'd love a less mechanical way, but that works and if it's a workaround, it isn't bad at all.
Smart Lock: I can't confirm whether Smart Lock "Trusted Voice" or "Trusted Face" methods are relevant to this, but I can confirm that even if you have a trusted device, place, face, voice or use on-body detection, they won't stop this method from locking the phone.
(Disclaimer: I'm using a Moto G 2nd Gen with Android Lollipop so how you make your baby sleep may need a slightly different lullaby ;) )