Go to Security settings, (it should be listed under settings>phone) and look for "Phone Auto-lock period" set it to your desired time, so it'll ask for lock code every time you try to unlock keypad.
Previous Phones: 6600, 7610, 6230, 6230i, 1100, 1112, N70, N73, N95, N95 8GB, 5800XM, 5230, C5, iPhone 3GS, SE Xperia X10, N900, N8, SE Xperia Arc
Current Phones: Nokia N9, iPhone 4