Change references from HTTP to Local

I’ve got WordPress up and running, and finished creating all my pages. Now I have noticed that all WordPress’s src and href references are prefixed with a harcoded “http://”.

Is there a setting that can turn this off so that all sources are referenced locally rather than making uneccessary http requests? or would this prevent permalinks from working?

I just ask because I was always told that local references bypass the need to make a http request and thus improve a site’s performance. Is this still true?