LG :: NEON No Way To Automatically Lock Or Require Security Code?

I have ATT version of the NEON and I would like it to automatically lock and thus require a security code to dial out or look at my text messages, etc. etc.So for example I would like for it to require a security code everytime I unlock the automatic key lock. (the key lock doesn't require a code just have to open it or hit the yes button). You can set the phone to require the security code (default is 0000) when you power up the phone, or when a new Sim Card is put in or immediately.

Immediately would be ok if it stayed on but the immediately option only works once.So short of going through the menus and setting it immediately each time or powering the phone off and then back on Does anyone know a way to do a lock on the Neon? Don't most phones have a lock feature?