You should indeed not hotlink from sites that ask you not to. It costs them bandwidth, for which they pay, so you are efectively a thief. Also photo´s and other graphics are usually copyrighted and you will need permission of the owner before you post it elswhere.
Sites like Imageshack, Flickr, photobucket and many others will host your photo for free, or a little donation, and they allow you to link directly to the photo.
The same goes for emoticons actually.
http://www.websmileys.com/ will let you link to their site, but if I used an emoticon from this forum on another A2K would be