While you may not wish to crawl external sites, it is still possible to download any files directly linked from the site you are crawling without having to change multiple settings. When the Download all resources option is set, WebCopy will automatically download any external file, as long as the reported content type is not text/html. The downloaded file will not be crawled, allowing easy downloading of linked images, sounds and other files.
Rules can still be used to exclude content even when this setting is enabled.