Your idea will require code for "each" field. I suggest that you set a Validation Rule for each field that you do not want empty (Null) when the new record is saved. Open your table in design view and set the Validation Rule to Is Not Null and key a message in the Validation Text to give the user a meaningful message as to what they did wrong.
To answer your original question...you have to test if the field is Null when they exit the field, then you have to set the focus to another field before you can set the focus back to the offending field that you are testing for Null. My example is testing a field named tbTest, if the tbTest field is Null when the users tries to move to another field, I am setting the focus to the tbAnotherField field and then back to the tbTest field.
The below code will set the focus back to the tbTest field if it is empty and also if they are tabbing our mousing around.
Private Sub tbTest_Exit(Cancel As Integer)
If Nz(tbTest) = "" Then
Me.tbAnotherField.SetFocus
Me.tbTest.SetFocus
End If
End Sub
HTH