If you've got a private key you're fond of that either has or lacks a passphrase(password) and you'd like to add (because you'd like to put it someplace you trust slightly less) or remove (because you're moving it someplace you trust more [really?]) it's really straight forward.
openssl rsa -des3 -in nopass.key -out pass.key
If you're using a
dsa key rather than an
rsa key swap that above. This command will ask you for a passphrase and then encrypt your key using
openssl rsa -in pass.key -out nopass.key
Provide your passphase to decrypt and you're set. By omitting the
-des3 you tell
openssl to not encrypt the output.