It's impossible to set Security Code in Closed Mode, because CAL bits(where security code is stored) are locked after booting in Open Mode.

To use that feature you must reflash phone, but you will lose everything from phone, and it will be in closed mode.

There's the only solution working in OpenMode, but it's less secure.
http://talk.maemo.org/showthread.php?t=92465
[anyway, nothing is really secure, if whole device isn;t encrypted]