OK, I'm sure this has been done before.
But after looking for a robot to automagically embed linked images into a wave, I decided to create my own.
It's pretty basic, just looks for URLs starting "http:" and ending with a known image extension. But after a quick test it seems to work OK.
If anyone wants to give it a go, just invite wog-embedder@appspot.com to your wave and type in some image URLs.