First Question: Signing the rebate or frame is perfectly acceptable. Pick a color any color. As long as it won't clash I don't really think what you sign with matters as long as it looks nice and doesn't fade.
Second Question: You embed a water mark in the image or digitally encrypt your details into the image. Some info is on wiki here.
Last Question: You are the copyright holder of the image the second you make it however in the states I think you can register images you take with the library of congress? Some information is in the Chase Jarvis blog.

When it comes to digital watermarks though it does beg the question 'why bother?' if you don't want it pinched why put it on the web big enough to make anything like a respectable print? Are you really going to loose income for a few .jpg's on the web? Most of the very seriously famous photographers on the web don't let a few .jpg's becomming peoples desktop wallpaper or tiny pixelated prints bother them one iota.