Now I can have a single button that locks the Mac, no menus, no moving your mouse, just tap and leave.
Enabling this is easy, first go over to the System Preferences...

Select Keyboard...
Click on Customize Control Strip...
I have my Touch Bar set to 'Expanded Control Strip', the same works in the 'App Controls with Control Strip' but will not be available in the 'App Controls' mode.
There is a Screen Lock shortcut, drag it down to the Touch Bar and place it wherever you wish. I found it appropriate to have right next to the Touch ID sensor on the right hand side, instead of the Siri button.
Click Done an you're good to go!
-i