Contrary to this post's title, there isn't a foolproof way to prevent a determined thief from copying pictures from your website or blog to theirs. If you put a picture out there for all to see, someone may want to take it for themselves. For the most part, you have to respect your readers and expect them to show you the same respect in return.
Still, you can take steps to protect your pictures from being inadvertently misused. I have started placing watermarks on my photos and also appending a copyright message at the end of the filename. To do this, I use a program called waterMark v2 from PMlabs.
Best thing of all is, this program is free. One downside I noticed is that it adds 100KB to the filesize but that is something I can live with.