Thanks for your suggestions, Jen.
I'll probably just live with having to set this option every time.
The reason I don't insert multiple images at once is that I usually change the order of the images from that in the media library. All that cutting and pasting afterwards would outweigh any saving gained in not having to select from the dropdown for each one.
Actually, I have just tried a test of this. It appears that with multiple images selected, changing the 'Link To' dropdown setting only applies to the currently highlighted item of the multiple selection. Pretty flaky behaviour, really.