This use to be as simple as clicking on the little pencil on the Friends box on your profile but after all the latest Facebook privacy changes this too has changed. But not too worry, it's very simple.
If you don't want your friends list to be visible to everyone or even your friends you can choose to make them only visible to you. After all you don't want to hurt any one's feelings if they don't like the friend list they are currently in, right?
So to change the settings:
1. Click Account > Privacy Settings.
2. Click View settings link under Basic Directory Information.
3. Select Customize under the section "See my friend list".
4. From the pull-down menu under "Make this visible to" section Only me.
5. Click Save Setting.
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