It's a dilemma, but I generally don't because It's a load of faff putting a watermark on. I have no easy way of doing it, and can't be arsed to do it through Photoshop one at a time. But I also never figured out how to put copyright data on my camera, so I thought I had, but it's not there in the meta, so I guess people will do whatever they want anyway. If I really care, I tend to avoid putting things online.
I put it in the caption, if anyone cares. Then people steal my work and delete the caption.