Technically, as soon as you make your concept into a tangible form, it is protected by copyright law. However, that is not enough in today's time. Also, mailing a copy of your concept in some tangible form (drawings, text documents, sculpture, CD) while does hold more weight that the simple giving birth to an idea into tangible form, does not technically receive protection either. You must fill out the documentation for filing the work or works with the U.S. Copyright Office. It is not that much money for filing your body of work under a single collection. Only when you want to break up the body of work into more specialized categories does the cost go up. It will take time to file and to receive the notice of copyright protection confirmation but you get a filing ID number which can be used in the interim.
Trademarks are trickier and more costly to establish. You can trademark the name only, the name and any stylized font used for the name, the graphic logo design, or a combo set of the name with stylized font and the graphic logo. A trademark can be executed state by state to nationwide (provided someone else has not managed to beat you to it in another state). If that happens, you cannot use the trademark in that state(s) for which someone else has already established the same or very closely similar trademark. Also, to make it more complicated, two companies can have the same name but have to be different enough that consumers will not confuse the two. Real life example is Delta - there is the Airline and there is a Faucet Manufacturer.
Licensing is important as it is another form of permission being given to you that is allowing you to use something in your project that is not yours and is copyrighted. You may luck out and not have to pay anything if you can work a good deal with the copyright owner, but most likely, you will have to pay money. It is better to pay the licensing fees ahead of time that risk the penalty fees and a ruined reputation.
Check the links in the next section to sites with downloadable documents and articles offering more information on this and similar topics.