There are scripts on the net that will do this, you could paste them into your theme. Another more accessible approach is to present the images as background images to an element, you can't right click save as on background images.

In truth though, these don't prevent someone getting your image, they can save the entire html file, or just look at the source to locate the image src, or indeed just do a screen grab.

In my opinion, you would be better displaying your images with a watermark if it's important that people don't download and reuse them.

"There are scripts on the net that will do this" - Link or name please...