You'll find that most WordPress themes you found on the web either do not mention licensing or use the GNU General Public License (GPL) license. If you're not familiar with the GNU GPL, you can learn more about it at http://www.gnu.org/copyleft/gpl.html.
You may wish to do the same with your theme, if you want it to be freely distributed, available to all, and changeable by all, with no permissions necessary as long as they acknowledge you.
If you've created a completely original design that you intend to sell commercially, or just want to be able to grant permission for any other possible use, you'll want to place specific copyright information and the name of the person or organization that holds the copyright. Something like © 2008 My Name, All Rights Reserved
, is generally recognized as legal with or without any formal copyright filing procedures (but you should look up how to best formally copyright your design material!).
This book's theme has been leveraged from another project...