To test, do what you did, reopen the computer, open BOINC Manager and open the event/message log window. It would tell if the OS put BOINC to sleep / stops computing or not.

Don't know how, but surely there's a key combination on your Mac to just lock the screen. There also will be power controls to not let the device go into auto-sleep. In my Windows I set that to never, unless the mains goes off and the device switches to battery. Here's a googled sample article on how to: https://support.apple.com/kb/PH13808?locale=en_US

Thanks for the help! I figured it out as long as the laptop is plugged in, though I don't know why you'd want this with the laptop unplugged anyway...

This is how to do it:

Go to System Preferences > Energy Saver > Power Adapter > enable "Prevent computer from sleeping automatically when the display is off"

Go to System Preferences > Security & Privacy > General > enable "Require password immediately after sleep or screen saver begins"

Instead of closing the laptop or putting it to sleep you press Shift+Control+Eject to turn off the screen and lock it, but it won't go to sleep.

*This is for the latest version of OSX, El Capitan. I think it should also work for Yosemite.