I would upload them from your computer/to your server/WP.
Reasons being:
You can better optimize the image file name with your keyword, ie keyword.jpg (including alt and title text).
The images you upload to your own server can garner backlinks to your domain.
Images you're linking on a different host might be removed, 404/503, or have their file name/URL changes (resulting in you losing the image).
Maintaining the image on your server/website/WP is a bit more extra work, but you can always can't on it being there and might reap some other benefits.