I used an old USB3 HDD which I had laying around. It was actually rather simple. My USB drive appeared as /dev/sdd It is possible to zerofill the drive before doing this. However I did not have sensitive data in the drive previously so I am not worried about people recovering random stuff from there . So I saved some time by skipping that step. You have to run the commands below as root user or use sudo
# apt-get install cryptsetup
The commands below will create an encrypted filesystem using the whole /dev/sdd disk. You won't be able to create partitions in it. But you can use that one encrypted filesystem inside it.
# cryptsetup -v luksFormat /dev/sdd # cryptsetup luksOpen /dev/sdd usbdrive # mkfs -t ext4 /dev/mapper/usbdrive
After mounting it to /mnt we can access it like any other disk.
# mount /dev/mapper/usbdrive /mnt
Here is how you close/lock it again. You should umount it first
# umount /mnt # cryptsetup luksClose usbdrive