I would agree that generally, you shouldn't worry about it too much. However, if you are worried about copyright infringement, there are a few small technical measures that can make it more difficult for casual rippers to get away with it. The first measure is to use PNG files, and embed a comment with your copyright in it. This is fairly easy to do with, eg, the Gimp. , Secondly, you can hide some kind of visible or invisible mark in your image (watermark). For example, you could use an indexed (palette-based) image, and then hide a text or logo by using a color that has a different index but looks the same. Finally, there are some steganography programs out there that allow you to hide all sorts of data in an image invisibly. You should decide yourself whether the last two suggested techniques are really worth the effort.
Of course, none of these measures is foolproof, and they can all be circumvented by someone knowledgeable enough. But I think some of these techniques might be helpful, especially embedding a comment, which I think is generally useful, because it clarifies the copyright of your art to people who have no intention of ripping your art. Also, someone may find your sprite on the internet without a way to contact you, and mastilla y want to contact you (say, to hire you). In that case an embedded comment with your e-mail address in it will be very useful.