Is it still possible to link the icons to another site (like Thottbot) instead of saving them on your own webhosting? It takes a lot of space and it used to be possible to just link them somewhere else.

Yes, you can.

RosterCP » Configure Main Roster » Main Settings » Interface Directory URL

also keep inmind that external links increse load time on images on your page and if the site is really busy it will take even longer for images to show