A thumbnail gallery "best practices" question

I've been blogging for a year now but a kind of basic question occurred to me so I thought I'd post it here:

I've noticed that most of the major sponsors like Randy Blue and Badpuppy offer affiliates pre-made thumbnail gallery pages that you can direct link to... very handy in my opinion. However, there are also some major sponsors that don't offer these, although they still give you promo content to download so you can presumably build your own galleries.

Do most webmasters build their own galleries on their own sites, or is it allowed (encouraged?) to build a gallery on a free site like Thumbblogger and then include links to these galleries on your blogs?

My main reason for wanting to do this is so I don't have to store the xxx pics on my site, both for 2257 reasons and bandwidth reasons. Just wondering if this is considered a "best practice" by adult webmasters who want to promote sites that do not provide pre-made galleries.

most of the places that i will submit to will only allow you to have a certain amount of links on gallery pages so it is probably best to use them for your sponsors also i read some places do not like you to link to central sites listing all of your other free sites and gallery pages