First things first and that is choosing the correct USB for your personal needs. Most flat .txt files or similar are no more than a couple of KBs in size meaning you don't need to go out and buy an expensive 128GB USB. Now that all depends on how much private data you want to store on this Apple encrypted drive so I'll let you make the choice...
For me I had a 128GB USB-C (Don't laugh it was meant for something at one point..) lying around and wanted to get some use out of it but a USB-A 2.0 type USB drive will be fine with 4GB of storage or more.
The beauity of being an Apple fanboy is you can spend thousands on a Mac and not have to spend any money on encryption software for your USB! No but really it is nice to have this ability built in with Apples Disk Utility Manager.
I don't know if windows has something similar but they may.
If you don't know how to insert a USB drive into a PC/Mac you might need to skip this tutorial altogether and buy a "PC's for Dummies" book first but in-case that is your initial issue here is a GIF of a man doing it.
Open Disk manager on your Mac and find the newly inserted USB Drive
If need be you might have to expand the list of drives visable in disk manager on the left panel
Find where your External USB drive is in the list
Once you have found the USB device make sure you have selected it and choose the erase option at the top of the Disk Manager software.
MAKE SURE TO BACKUP ANY DATA YOU DON'T WANT TO LOSE SILLY!
Once you click on the Erase
option you will be prompted with an additional option screen
Choose the APFS (Encrypted)
option (The whole reason you're here right?)
This then prompts you with another screen but this time it is to put in a password. This password is how you access the drive once it is setup.
Note you will have to enter that password every time you reconnect this USB...make it something you can remember or right it down and store it in your safe.
Once you have entered in a super secret password (hotdogs123), the Disk Utility software will begin erasing and encrypting the drive.
This is a pretty straightforward process but adds a level of security to your day to day life. My personal use of this Apple encrypted USB drive is well...nothing. Come'on you didn't thing I'd give that away huh?! Really though you can use it for a ton of different things and make sure whatever it is that is stored on the USB is safe and encrypted.
Happy Decoding!