Some already include that innate function. Did you have a specific
brand and model in mind or were you just fishing for some generic
answer? If the device doesn't provide it, use whatever software you
like to encrypt the files before copying them to the USB drive, or
encrypt them in-place on the USB drive using whatever software you
want to use. You could use password-protection in a file archiving
tool, like WinZip. You could use TrueCrypt for file or volume
encryption. A Google search on file or volume encryption would find
lots of software to do encryption.
In addition to Vanguard's suggestions, you can use Take Away Encryption.
The only flaw to the program is it deletes, rather when wipes the file
after encrypting it.
