Do you really serious about the privacy for your Whatsapp conversation, well now just add a nice password on your Whatsapp application, so that no one else except you can open your Whatsapp account.
Download & Install WhatsApp Lock
it will ask you for four digit passcode, just do that.
It contains an Auto Locking feature that will lock your Whatsapp automatically after sometime.
The best thing about this application is that if someone enters wrong passcode few times then if your phone contains the front camera then it will capture the image of the intruder and store it safely.