Unless you care about the bandwidth leeching, I'd really not bother.
If they are linking directly, then they'll probably remove the link if they notice you redirecting.
If they are embedding the image, I'm not sure that any link juice will flow to your site if you set it to only redirect when not embedded. And if you set it to always redirect, that will give them a broken image.
The only SEO issue I can see here is if the image appears in Google Images and links to their page for "visit page" instead of yours. I'd assume the fact it is hosted on your site should be a good signifier that your page is canonical for that image, however. This also seems a very trivial issue.
Finally, have you tried simply asking them for a credit for using the image? The best SEO I can think of in this situation is to get a "via:" link.