As soon as you make them they are automatically copyrighted, you may register them. For more information on that, visit www.copyright.gov I believe it costs 30 dollars and you have to send in a copy of your script.
If you are really concerned about people stealing your scripts than don't sell them to anyone. Just keep them to yourself. Don't get too concerned with copyright. It's automatic. Just put your copyright notice at the bottom of your scripts. Consecrate on making money with them.
They are automatic. Also you can have a contract says your customer can use but not distribute or modify without consent(this is a very rough example). That way you can hold them responsible for the use of your code.
hostlonestar is correct: as soon as they are created, they are copyrighted. I'm not sure if this goes for every country though.
I think you guyz are missing out the actual picture here. Agreed, that copyrights are granted as soon as the work is created, but, on case of violation, how does the court decide who created the work first? This is where the copyright registration papers help. If you want to avoid people stealing your code, please encrypt them with ioncube or sourceguardian.
In case of a violation I think you do need to get it registered copyrighted before you can legally do anything about it. I heard something like that awhile ago but I'm not 100% sure.
Copyright.gov is for registering the copyright in the US. In the US, registering your copyright allows you to sue for copyright infringement. http://www.copyright.gov/help/faq/faq-general.html#register If you are not in the US, you should register your scripts/computer programs with your country's copyright office. You may be able to register in the US as well: http://www.copyright.gov/help/faq/faq-who.html#foreigners