linux + /etc/init.dで新しいスクリプトのcheckconfigを設定する

/etc/init.d/copy少なくともサービスの開始と停止はサポートしていると思います。たとえば、

/etc/init.d/copy start
/etc/init.d/copy stop

スクリプトに必要なコメントがあることを確認してください（checkconfigのマニュアルページを参照）。

Each  service which should be manageable by chkconfig needs two or more
commented lines added to its init.d script. The first line  tells  chk-
config  what  runlevels the service should be started in by default, as
well as the start and stop priority levels. If the service should  not,
by default, be started in any runlevels, a - should be used in place of
the runlevels list.  The second line contains  a  description  for  the
service,  and may be extended across multiple lines with backslash con-
tinuation.

For example, random.init has these three lines:
# chkconfig: 2345 20 80
# description: Saves and restores system entropy pool for \
#              higher quality random number generation.
This says that the random script should be started in levels 2,  3,  4,
and 5, that its start priority should be 20, and that its stop priority
should be 80.  You should be able to figure out  what  the  description
says;  the \ causes the line to be continued.  The extra space in front
of the line is ignored.

ただ実行してください：

chkconfig --add copy