There is some confusion about disk images which I'll try to clear up.
Yes, please uncheck the "save password in key chain" unless you want the act of logging in to make this encrypted image accessible.
You'll need to re-enter you password when ever you *mount* the drive. So password entry is unrelated to logging out or rebooting. When you are are finished with working with your secret files, un-mount the drive by clicking on the eject button in the finder.
To mount a .dmg, just double click it.
I hope that clarifies.
==>Lancer---
AAM: Creating a Password Protected Folder