Using J-link programmer, I try to figure out how to set some kind of security bit to avoid 3rd party reading code from flash.
If you could please return me a helpful link.
You can use nrfjprog to enable read back protection option. It is part of the Nordic command line tools. You can download it directly from nordicsemi.com
Think this post might be of interest:
You should be able to write 0xFFFFFF00 to following register NRF_UICR->APPROTECT to protect the code in the flash.
You could also as Nguyen mentioned protect the application directly, by adding --rbp ALL when flashing with nrfjprog