Assignments can be made as gradeable topics.
If you use the grading interface to enter a grade, grades will be private.
After clicking the Grade Topic button, click Edit for a particular student.
Select the appropriate grade from the dropdown menu and enter any comments in the text field. All of this information is private. When you are done, click Save.
Your students will be able to see grades entered in this way by clicking the Grades link for the course (or clicking Grades near their profile and selecting the appropriate course) and clicking the Assignment tab.