I always write a note on the image with the link to the source but it depends on the image, for not all images are copyrighted. I'd recommend you to visit this site to lean more on copyright, how to quote sources, which material is copyrighted, etc.

Hope this helps.

If the image is not under any special instructions to display and the image is protected from distribution by copyright, I would probably write under the image "Image source www.site.com, with or without a hyperlink to the blog.

But im not sure if this is the professionally agreed upon way that bloggers are using?