Before we get off into solutions, I need to review the extension. It just hit me that I believe I was using wiki methods for the initial generation of the html for drawing an image if it was hosted local, and then wrapping HighSlide around it. The implication being that what is initially shown on the page would be a much smaller in size thumb, and not the original full-size image. The full-size image would then be loaded when the gallery is first opened in HighSlide. Can't do that for external images though.
It's been awhile since I wrote it, so will review and report back.
EDIT: Yup, that is what I did. Obviously there would have to be some testing, and I doubt you'd still want hundreds of thumbs all loading on the page at once, but it really depends on what the thumb size ends up being. In this case, the smaller you can make the images for adding to a page, the better (like 100 or 150px in width). That's what makes Galleries so great. A smaller thumb size on the page should not matter, as the real glory is displayed when the gallery is opened.