You can pick a license for each project in Metadata->Release Info, separately for code and assets. The two lists only cover open source and free culture licenses though, for anything else you have to write your own like firecat said.
Sorry, I think I didn't explained properly. I mean, I don't know how to write my own license.
I just want something simple, saying "don't distribute please", but I have no idea how to make it, or even if I need to make it. I thought maybe there is some standard license like that. On Unreal Market there is one, but it's crafted for the Unreal Market.
On the web I see a lot of advice saying "ask your lawyer". Well, where I live there is no such a thing like "my lawyer" :) There are lawyers of course, but they cost so much it's totally over the board for a $10 asset pack.
I don't know, sorry, and our admins don't provide legal advice either. That said, you probably don't need to worry so much. Just state what uses you allow. People who buy your assets will want to know. It doesn't need to be all formal because, frankly, most people just want to be honest. And those who don't? A strongly-worded license isn't going to keep them at bay, and it would be moot anyway unless you could afford to sue. In which case you could also get a lawyer.