"I want to protect my photographs. If I sell my photos should I copyright them? If so, how do I go about that?"
No matter what country you live in the best protection first and foremost is to make sure you have informed the buyer (with paperwork) specifically the licensing use - even if you are selling a person a fine art print you should be delivering a simple invoice contract with it that spells out the licensing "this is for person display... and no reproductions are granted etc"
Just because something is registered with a government does not protect it. you would still need a lawyer and court time $$$$ to enforce when maybe the situation could of been prevented with a little upfront communication (and paperwork)
p.s. if you're here in the US try this link for info http://asmp.org/content/registration-counts