Exchanging the photo doesn't solve the problem of stolen bandwidth - the new photo will probably use as much bandwidth as the replaced, hot-linked photo. If the hotlink causes you to exceed your allowed bandwidth, as was the case with my site, you'll still exceed bandwidth.
My new host has a feature that prevents hotlinking, so I have taken advantage of that. Looking in stats, I can still see the hotlinks, but they are no longer using my bandwidth.
juan