Embedding copyright is only ONE of the many methods to protecting your art. For more posts on copyright law check them out here!
Obviously, this is not a full-proof way to safeguard but every bit helps. Is this going to stop people from screen shots or removing the watermark? No, but it can work as ONE of MANY safeguards to protect your pictures.
This tutorial is for Photoshop CS5 but variations may be used for other programs.