(This applies only to supervision essays, not to exam essays).
It is good to get into the habit of writing according to academic conventions. This means that your essays should include references for all direct quotations, and for all important points and arguments that are taken directly from another source. On top of this you should always provide a bibliography at the end of your essay indicating which books you have used. A bibliography indicates to your supervisor which books you have read, and will be a helpful reminder to yourself when it comes to revision.
References should indicate the title, author, date, and page number of the book from which the quotation or argument is taken. These can be in brackets after the quotation or in a footnote. If you are using a quote from one text, e.g. John Tyndall's 'Belfast Address', that you have taken from another text, e.g. John Hedley Brooke's Science and Religion, then give a reference of the form: 'J. Tyndall, quoted in J. H. Brooke, Science and Religion: Some Historical Perspectives (1991), p. 303.' Do not reference the original text if you have not actually looked at the original.
It is normal for the titles of books to be given in italics, or underlined, and for the titles of journal articles, lectures, chapters, talks, etc. to be given inside speech marks.
If you are unsure what conventions to use when referencing quotations and compiling a bibliography, look at an academic book published by a major publishing house (e.g. Cambridge University Press, Oxford University Press, University of Chicago Press) and copy their format. Whichever convention you adopt, make sure you are consistent.