Actually, if you're making the XML with your own script, you can put file paths if you want. And if the images are going to be on the same filesystem anyway, that's a better idea.

The exporter will probably still use the HTTP protocol to specify the file path because I've used it to transfer images from one server to another. I think that's a handy thing not to have to figure out beforehand which images will actually be used.

It looks like this is a problem with Drupal that I have to work around: http://drupal.org/node/157409. I'll just make the URL the hard way, the correct way.