Locking files and other media
Locksmith is a partial solution to this one - once you have your files uploaded to a storage provider, you can create a page in your shop to house the download links, then lock that page with Locksmith.
However, Locksmith doesn't offer any file storage itself, and Shopify's file upload feature doesn't support any way for an app to filter downloads. This means that an enterprising user could copy the file download url, and potentially share this with others.
If this is a concern for your business, the best way to mitigate this is to use a storage provider that provides some extra security - then, include a download link from that service in your Shopify page, along with any information your customer needs to successfully download the file.
Dropbox Professional and Dropbox Business are an excellent options here. You can use Dropbox service to (1) upload your files, (2) generate a download link, and (3) set a password. (Just make sure to include the download password in your Shopify page!)
Here's an official guide: