That is correct. You can change the price for each combination of the options by changing the price for each option when that option is selected on the edit product page. To change something for all product options, select the update all options checkbox next to the value you want to set for all the options for that product.
If you have simple options set up for a product, you will not be able to set up different prices for each option. If you have a product with options but don't need them to have different prices, simple options is the way to go, since it'll make your store faster if you have a lot of products and options.