I'll go out of my way to do a bit of a hard sell using text and custom banners (I make a good deal of my own banners based on what I think people want to see), to entice the visitor over to the sponsor's site. I'll give the best sales pitch i can give, but yeah, once the traffic has left my site, it's out of my hands.

And really, it's the sponsor's neck on the line. If a sponsor isn't making the final conversions, they'll go out of business. I'll simply change to a different sponsor.