Mac Lock / Sleep Settings

I've recently switched over to a MacBook Pro after using Windows or Linux laptops my entire life. I love that when I close the lid the laptop turns off and uses very little power. When I open it, everything is up and running again like nothing ever happend. Crazy concept I know, but coming from years of windows machines, this is a luxury.

What I can't figure out though is how do I keep the machine running when I lock it without closing the lid? I run various VPNs and have programs for work that are painfully slow to compile / start. I can't leave the thing unattended while signed in obviously in an office, but I'd love to be able to lock it while compiling and walk around / grab a drink without having to reconnect to the VPN and having to resume the compilation of programs.

At the same time, I really love that when I close the lid it goes to sleep so I'd like to keep that feature as well. Is this possible? My fellow Mac users in an office, what do you do?