The copyright thing is kind of a big misconception. Anything created by anyone is technically copyrighted, but that doesn't mean much. Having raw files or design files is the only way you can prove it's yours, and even then, good luck doing something about the stolen image unless it was stolen by a company in your country and used for gain, or posted on a legitimate website that will take it down once you can prove it's yours... and in both of those situations, having the copyright doesn't legally do anything or help you. The only time adding a legal mark will help you is if you've paid to register something with a trademark.
(For the OP regarding copyright) I fully agree with the quote above as well as florianbieler's regarding the legality/need for a watermark.