After 6 months you may not need this anymore but I found the solution: There is a hidden options page in WordPress under http://yoursite/wp-admin/options.php
On that endless list of undocumented options you can set a value for “image_default_link_type”. You may want to set it to “file” (without the quotes) to link all your images by default to the original image.
Other options are “” (leaving it blank) and “post”. The latter one links to the permalink. The blank value is said to not link images by default but for me it defaulted to the permalink.