Even if you're a member of ASCAP / BMI / SESAC, is it still best to copyright the music?

Absolutely.  ASCAP/ BMI are PRO's and have nothing to do with copyrights.  All ASCAP, SESAC, and BMI do is collect and distribute funds for performance royalties on your behalf.  It's up to you to copyright your song.  When using the Copyright SR form, you copyright your song and say you've "included other copyrighted material", i.e., the instrumental.