The Add image to Post plugin allows you to insert image automatically as featured image your post from external link.
The Add image to Post plugin is a WordPress plugin that allows you to insert a image to your post from external link. The plugin scan the external website to find the most revelant image and add it as a featured image associated to a post. The plugin only trigger when your articles page (single) is loaded once, after that, the image become the post featured image and create a custom field with the name "gc_thumb" and give you the full url of the new image location on your server. More infos at http://www.appsmobiledev.com/wordpress-add-image-to-post-plugin
Work well for Autoblog WordPress blog like Autobloggeg or WPRobot.