In 163 countries copyright exists the moment you make something original, like a song.
The problem is when someone rips you off and then you have to prove that the copyright was yours and not someone elses. It's not good enough to have a dated version on your own or a friends computer or send it in a letter because you could easily alter that. It has to be independent.
You can upload them to a special webpage and they fingerprint them and record the time you uploaded. This means that you have an independent record showing when you made it.
Now about price, you can use the US copyright service which costs about $45 per application you make. This takes about 4 to 6 months to get registered.
You can also use an international online service called http://www.provemycopyright.com. It costs $99 but you get an account with 1Gb of space to upload lots of your songs, even if they are in demo format. When you record a new version, you can just upload that one too and it doesn't cost you anything extra.
Both will register your copyright, so I guess it's just a question of how many songs you want to copyright, how quick you want it to be registered and also whether you want to be able to register copyright before you have a totally finished version or not.
Hope this helps!