I think it is a good idea but I also think that it should not be done if the image you are posting is not yours. Just watermarking image with your site URL is easy but why are you doing so? Did you purchase the image? Did you create that picture? If you want to stop bandwidth stealer then you can just disable the hotlinking of your images. How do you see this thing? do you watermark images with your site name or url?
its for advertisement usually cause that image will be passed around and shown to thousands of ppl and if you got your site on it thats thousands who will see your site url