Read the comments as they may provide useful information for your particular situation
I boot my iMac from an external FW800 SSD. I found out that it is impossible to encrypt this disk using the new FileVault as part of Lion.
Furthermore, I also found out that if you have a disk with a Bootcamp partition FileVault will also refuse to start the encryption process. I'm not trying to encrypt the Bootcamp volume, just the bootable Mac OS X Lion installation.
It may be advised to stay away from Lion if you need a setup similar to this one and also need disk encryption.