Monitor DC Power Usage
Atmel has a development board and app-note that I highly recomend you take a look at: ATmega64HVE2


  How can I measure the current usage of each device.


You need to use a current shunt to measure the current. Basically this is just a resistor of a known value (and able to handle the wattage you need,) in series to the load. 



You will use the ADC of the ATMega328, to measure the voltage drop across the shunt. The voltage drop is proportional to the current flowing through it; since the shunt is in series with the load, this is the current the load is using. So since you know the resistance of the shunt, and the voltage drop, you can calculate the current using Ohms law, I = V/R.




  The power loss for measurement is thought to be very less.


I'm unsure what you mean here, I assume you don't want the actual 'measurement circuitry' to use much power. To do this you just need to select a shunt that has a very low resistance, since power equals current squared times Resistance (\$ P = I^{2} * R \$). 

Make sure you pick a shunt that can handle the power of your load safely! 



Edit

Here is a tutorial for Measuring Current with the Arduino that goes over everything fairly well, including using a OpAmp for better step resolution.