I put a watermark on them. My main site is flash and you can't right click to save the images - someone determined enough could lift them of course but the photos are only 500px on their largest size so I don't think they'd be very useable for most purposes. On my Flickr site, my photos are marked as copyright and I do put a signature on. Also, only my contacts can click to see a bigger size.
So if someone REALLY wanted to they could steal my images but they'd have to jump through enough hoops to know that they're doing something wrong and might not get the quality they wanted. For me it's a fine line between marketing myself and protecting my images. A few fans of a particular band have used my images on the band's official forum. They've cut the picture to a banner shape (to more naturally fit in the sig space) but because that crop has taken out my watermark they've re-written it onto the new cropped version. I find it impossible to actually take offence at this!
Others I'm sure will employ a different tactic. Ultimately I guess it also depends on what your images are. If they are portraits of a member of the public, then other people are unlikely to want to lift them, but then you might want to consider how the subject of your photo might feel if, say, a picture of them semi-naked which you think is artistic is found on an internet porn site!!!