I've tried both, and seem to be getting higher CTR to the sponsor site when I send them to the gallery the image came from, but it depends.
Most of my hubs link the thumb to a HTML page with the large image on it, which links through to the FHG the image came from. Seeing as how for some reason Google Images really likes this setup (I get about 200 uniques/day just off GIS) it helps people click through with some carefully placed 'if you want to see more....' style links.
Just my 2 cents though, YMMV
