AnyLink is a WordPress plugin which allow you to customise you external link like an internal one.
Anylink allows you to covert the external links in your WordPress to internal links. Of course, it's automatically. It's advantage is that Anylink Plugin doesn't destroy your data in WordPress, which means once you removed it, you needn't do anything to your posts.
Also, you can customise the style of the link, such as its length, component, etc. You can customise the redirect type(http status) such as 301, 307 as well.