Watermark it. There is no way to stop someone from saving locally anything they see because once it is seen, it is on their machine, even if not all at once.
The best way to protect your content is to transform it into an advertisement for your site. A number of sites do this and every few seconds you see scrolling text that says Video produced by myvideos.com or something similar. The amount of work required to remove such thing is enormous. Just make sure it happens during the video and only at the credits because someone can just edit it out.