How important is it to distinguish between the two? Will the users mind? Most websites do not distinguish between internal and external links. They just let users drive over the link to see or click and find out.
If necessary, I prefer to stick to the Wikipedia convention, as this is a well-known site, so the icon is recognizable.
Otherwise, you can use dotted underlines for one link type and solid underlines for another type. Or use double underline for one and simple underline for the other. You could even use different link colors to make them stand out even more, but that's probably not appropriate in most cases.
The last option is to put external links in a separate section (Wikipedia does the same on most pages). This clearly indicates to users that they are external links, and allows users to easily find / avoid them.
In most cases, however, it is completely unnecessary for users to "warn" that a link is external. Avoid linking to bad websites or irrelevant content.