Theodoros - Thanks for the mention!
Mike - Yes I use PhotoShelter because it's easy to make my site look beautiful and I don't have to worry about the technical side of things, for that I highly recommend them. And yes I'm losing out on SEO juice for not having all those images on my own domain but either way you still need to market your own photographs, it's never a case of "if you build it they will come".
And if you have any specific questions, just ask!