I’m stuck on the same problem (linking a thumbnail image to a page, rather than a portfolio item). Your first direction to Yaniv didn’t work out for me. I wasn’t able to get as far as linking a thumbnail to a page.
“On your featured media option, look for Apply link to image?, choose link manually, then provide the link.”
I did this, but it only linked the featured/slideshow image to the page, rather than linking from the gallery thumbnail directly (bypassing the portfolio item page). The destination gallery is http://www.colorforge.com/photo-gallery-kids/ – the gallery thumbnail is the first one appearing on http://www.colorforge.com
Thanks in advance for your help.