I have a list of links to specific pages, say 
website.com/1234
website.com/1235 etc.
These pages contain images from the same site, which download ok. But
sometimes they also have images from external websites embedded, say
imageupload.com/image12345 and others, and I have no idea how to get them to
also download.

I have mirroring depth set to 1. In the options on "links" tab I check "get
non-html files" flag. I tried setting external mirroring depth to 1 and even
2, tried putting in filters like "+mime:image/*" and "+*.gif +*.jpg +*.jpeg
+*.png +*.tif +*.bmp", nothing seems to work for those files. Any suggestions
would be much appreciated.