You cannot lose your copyright if the work is genuinely yours. It belongs to you the moment you've created the work and is yours in perpetuity (or at least until a long time after your death). If you want to, you could print it off and mail it to yourself, leaving it intact when it's delivered, but you don't have to do that. You don't even have to put that little 'c' in a circle on your work. The only exceptions to this are when certain people undertake to publish your work, either in print or online, and ask you to sign over copyright to your work, either permanently or temporarily.
The upside to submitting your work to a good writing website for comment is that once it's been submitted, there's a traceable record of you having created it. In reality, very few people do steal another author's work, because the writing community generally deplores this sort of thing and is quick to speak up when it does happen. I think there may also be some form of collaborative self-preservation there - 'why should he/she get away with stealing someone's work when I'd get done for it?' sort of thing.
The main downside to it is that, when you come to submit your work to publishers, most will stipulate that it should be 'not previously published'. Online publishing - webzines, some competitions etc. etc. - counts as being published. However, if you're putting work up for comment with the aim of redrafting or changing it, then it could be argued that this isn't proper publishing.
Have a look at my favourite site,
http://www.writersdock.org . It has a big membership, but is very friendly, with lots of sub-groups, workshops and forums. It's also free.