Assuming you've written the script, then in legal terms, there's not much more you need or can do. Mark the document (hard copy) with the copyright 'c' symbol, your name and the year of production. In the US, I believe there may be a a registration process that you may be able to use. In the UK, the same exists, but only via a commercial company - it's not a government scheme or anything that's legally binding. In general terms in the UK and US, copyright applies the moment you creat the work, usually in a tangible form, like a manuscript. The best way to protect your work is to be careful about where you send it and what you do with it. Reputable agencies and/or publishers will not generally be ripping people off as it's spectacularly bad for long term business. The risk of having your script stolen and used is in reality very small and will probably only happen if you give a copy to a disreputable organisation. Even then, you should have some record of having supplied a script to them and what that script was. You will presumably also have some record of correspondence discussing your script that you refer back to if needed.
It is amazing how many people confuse copywriting with copyright. Kinda like confusing your wife with a knife.