enigma1 - 9:34 am on Aug 16, 2010 (gmt 0)
IMO use thumbnails and pass the image through a script so if it is pulled from external sites you have full control to do whatever you want. In other words to send the headers you want, force the cache, redirect etc. Theoretically it should improve your overall site's rank because of the likelihood these accesses are recorded and utilized by search engines.
Of course you do not want to put a high load on the server, so having thumbnails could help.