WordPress’s editor has a nifty little button that you’ve most likely seen: Add Media. This button brings up a screen that lets you add images by accessing your media library, uploading a new image, or adding an image from a URL. With featured images, you don’t have the URL option. Hopefully, this feature will one day become part of the WordPress core but, for now, you need to find another way to add featured images using a URL. Here’s a little hack that should work for most cases.
Auto Post Thumbnail
Auto Post Thumnail is a free WordPress plugin that will take the first image to appear in your blog posts and add it as the featured image. This means you can add a remote image and Add Post Thumbnail will automatically add that image (if it is the first to appear in the post) as the featured image. You can prevent the plugin from doing this on specific posts by adding a custom field (skip_post_thumb with a value of 1) to the post. Also, you can override the plugin by adding your own featured image the normal way. There’s also a PRO version of Auto Post Thumbnail for only $7 that makes use a bit easier and has some extra features, such as support for custom post types.