> Is it possible to change the style of all external links 
to
> be in italics?
No - this would require html formatting (impossible in many 
cases, like javascript)

> Or is there an option to redirect external links to a
> certain address?
You can activate the "no external page" option and, after 
the mirror, change the external.html file created and 
modify the javascript code inside to redirect to another 
page.