I finally figured out how to do the image linking. Simple really, but I’m kinda thick sometimes. After uploading a picture, if you want the image to be a link to the full size image, click the image to be inserted into the blog/page to bring up the options, change the Not Linked menu item to ‘Linked to image’, then insert the image.
This allows the thumbnail to be put into the page, with a link to the full picture.
Here’s some examples… Click on the pictures to see the full image: