I had actually wondered that myself.
I guess if a solution like that (I don't endorse anonym.to, it's just one I've used on another board) was to be used you would want have a look into the company.
At the extreme end of things services like these could be honey pots, at the less extreme end of things, but nevertheless worrying, how do you know what they do with logfiles?
I don't know the answer to these questions, and haven't looked into them. I could post at the forum I have used and see how they decided to use that service.
A rather more lo-fi technique that was used previously to them setting up the anonymisation service was simply banning live links. Links were previously formatted like
hxxp://link.there/
or by styling links with bold tags or similar. Quite a lot of hassle to moderate, really.
I suppose the safest bet of all would be to find a script, or someone to write one, that would do the anonymisation or link-killing on your server, under your control.