If you rarely need the sensative data, the answer is obvious: an external drive that you leave at home. This way when you take your laptop away from home you are leaving the sensative data where you believe you have relativly good physical security. As long as the disk is strictly external an not a NAS (network attached storage) device the data exposure when you take your laptop with you is only subject to physical theft. This approach requires no additional security for your laptop.
On the other hand if you need regular access to the files it depends on the total size. For a collection of files less than 16 GB I suggest a encrypted USB flash drive. The size constraint is based on the cost of the USB flash drive. Any commodity USB flash drive of sufficient size will do. You can use free tools like Truecrypt GPG or PGP to make the drive encrypted. You will need a second USB flash drive of the same size to act as a backup. This solution allows you to take the data with you but allows you to separate the data from the laptop at any time.
If you need regular access to your sensative files but the total size exceeds 16 GB (or your cost threshold for two USB flash drives), then I recomment a encrypted partition of your internal laptop hard drive. You could go with an external hard drive, but you would need to buy one that could stand up to the riggors to transport and those are expensive. To me it makes no sense to have a portable hard drive that might fail if it gets bumped too often.
Are there some other things I should be aware of?
Yes, if your friends are computer savy and fond of playing pranks they could do odd things to your configuration files. One possibility would be remapping your keyboard so when you press a key the output is not the character printed on the key. If you are not protecting your system you should at least be able to detect if it has been modified. To do this you need to make a hash database of your configuration files. There are several free tools to do this: AIDE, Tripwire (free version), SAMHAIN, etc. Note however that you will need to keep a database copy offline, as if someone has access to your computer they may modify the integrity database. To combat configuration changes it would be useful to have a live CD/DVD/USB flash drive to be able to boot from and a configuration backup file on the same media to allow you to quickly restore your system.
Backups, especially when you computer is at risk ob being modified are critical. Have scheduled backups to a networked device or an external drive. You can suplement scheduled backups with a confguration backup that is activated every time your computer is put to sleep.
Which scenarios are the most probable?
You know your own threat environment best. That is what people are most likely to damage the assets you have (laptop and data) and what types of things they may do to them. Laptop theft from home burglary rates vary in different parts of the world and from city to city, but your laptop is a very tempting target if your home is burglarized.
How to protect firefox browsing data?
There are several information stores in firefox browsing history, cookies, passwords, form history, and cache. Most ot those have pretty good settings under the Preferences control panel. If you rarely or never use any of the features then turn them off. If you use Firefox to remember passwords use a master password to protect them. You can have Firefox clear your browsing history and form history every time you close it.
How vulnerable is a locked screen?
It is usually as good as the password you use to lock it. However if your friends are sophisticated and you have rhost, rcp, rsh, ssh, ftp, or some other remote access protocol running on your system, they may be able to access your system using WiFi or Ethernet. Disable your ethernet port when you are not using it (i.e. before leaving home). And disable your WiFi if you are going to be away for a while.