[JWait]

When you set up the option. For "Option group type:" did you choose "Price modifier", "Product variant", or "Custom text field" ?

If you choose "Product variant" it will give each "option" a separate SKU and allow you to change prices. It will also give you the option to add a variant image for each product variant. What this does is when the customer changes the selection box to a different color the main image will change to the variant image associated with that product variant.