How do I require password prompt EVERY time I close my MacBook's lid? This doesn't seem to always work. 

Also (perhaps related?): when I close the lid of the laptop when it's connected to the Thunderbolt display, how do I make the display go black? 

Basically, I am trying to increase security on my setup overall, if I leave my desk.
If you want to make sure the external display goes to sleep when you close your macbook, make sure you don't have a power adapter, external keyboard, or mouse connected, then close the lid. 

Reference:  http://support.apple.com/kb/ht3131

If you want the machine to require password after you sleep it: