If you need to change the lid close action now and then a don't like clicking through the menus, you can use a script I wrote.
The script is quite simple:
#!/bin/bash
state=`xfconf-query -c xfce4-power-manager -p /xfce4-power-manager/lid-action-on-ac`
if [ $state -eq 0 ]
then
# is set to do nothing -> set to suspend
target=1
message="suspend"
icon="lock"
else
# is set to suspend -> set to do nothing
target=0
message="do nothing"
icon="window-close"
fi
xfconf-query -c xfce4-power-manager -p /xfce4-power-manager/lid-action-on-ac -s $target
xfconf-query -c xfce4-power-manager -p /xfce4-power-manager/lid-action-on-battery -s $target
notify-send -i $icon "Lid action changed" "to $message."
Be sure to check the icon and/or the messages written in the notification to fit your theme nicely. Save the script, chmod +x it and assign a keyboard shortcut, i.e. with xbindkeys:
"~/scripts/change_lid_action.sh"
Mod4 + F12
Enjoy!