Hi,
If you wish, put a watermark on the images. It can just be your name, semi-transparent.
Personally, I think watermarks serve limited purpose. People skilled with Photoshop can usually edit one out, if they work at it. They are mildly insulting, sort of like telling people "I don't trust you" and clutter up your work making it hard to view. Plus, they make for more work, once they have select the images they will use.
First thing you should do is go into the images' EXIF data. There you can mark the image as copyrighted, and add information such as "© Copyright, 2008, All Rights Reserved, John Doe." Also add your contact information, at least phone number and email address.
Depending upon the software you use to edit the EXIF, this can often be done as a batch. Oh, and don't "Save for the web".... In some softwares this strips off EXIF metadata so that images load faster.
Now, personally, I like to "sign" some work. It's just a smaller signature, in a font that looks a lot like I write it, placed in one lower corner or the other. I don't like to use the © symbol on the face of the image. I make the signature transparent, so that it's minimal.
But, I wouldn't put a signature on an image that's intended for publication, stock or commercial usage.
You really don't need to have anything on there. You don't give up your copyright in any way.
Next, on the CD or DVD itself I print "© Copyright, 2008, All Rights Reserved, John Doe: This disk and all it's contents." .
Also, I include a .txt file on the CD/DVD that spells out any usages I'm allowing, and limits others. For example, it might allow "prints, for personal use", but not for commercial use, nor transfer of license to any third parties. Of course, this varies depending upon the specific terms of the job.
I agree that it would be nice to get signed model releases. Should actually get them before starting to shoot, but you still might ask for those in exchange for some usage they may want to make of your images. Only with a signed release can you ever use the images for any commercial purpose, up to and including in your own advertising (portfolio display and limited edition "fine art" print sales would not need releases, though).
I don't know about bordering the images. That's really an aesthetic call. I don't know of a program that can do it as a batch, either.