You don't "add" copyright to a work. The copyright is inherent to the creative act. Once the creative work is brought into being, the copyright (CR for brevity) already exists. This happens regardless of the published state of the work.
You own the CR of the stuff you create. However, if you use CR material from a third party, their own rights superimpose and take precedence over yours.
That's why we need fair use. Under some circumstances, this precedence does not preclude the use of the CR material.
What puts a character under the umbrella of CR is a nebulous matter. There's a split in the circuits and, as most things regarding CR, no clear-cut rule. Each case needs to be analyzed on its own merit. More about this in this Emory Law Journal paper.
Often we err on the side of caution. Perhaps the court would find that if the character in your work can be recognized as the OG character, the OG author can enforce his rights over your work.
So, yes. You own copyright over your version of the character but the OG author may enforce his own CR rights over your work. Which means they may force you to stop distributing the derivative work. It usually requires a civil lawsuit but often C&D letters and the fear of the cost of litigation are enough to bring the weaker party to agree to the claims brought before them.
A license is the other way around. The OG creator may grant you one to shield you from legal issues down the line. This shield is not absolute, though it may hold some weight in court.