There are two distinct problems here, I think:
- How to convince your manager to follow the practice
- How to convince the rest of the company
The way I would address it with your manager is to focus on the issue for the rest of the company, and not make it about your manager for now.
Go to your manager, and point out that there is a culture in your company of leaving workstations unattended, which leads to potential liability for the company.
Suggest that it becomes a priority for your company to push out a clear policy on workstation locking, and send out memos to the employees with some of the suggestions from the answers here - mostly, telling them why it's important and what the risks to the company are, and telling them how to do it.
Then, you and your manager should remind people you see with unlocked workstations to lock them. Locking your workstation is a habit - it's one that's easy to get into (windows key + L for a windows machine), and it just takes doing it a dozen times or so. Help people get in that habit, and maybe have a few others help you remind people.
The advantage here, for problem #1, is that it hopefully solves itself - once your manager is on board and reminding other people to lock their workstation, it's easy for them to also get in that habit. And if they fail to get into that habit naturally, well, once you're reminding others it's easy to say 'Hey boss, looks like I got you!'