Yep, sorry mate, I just checked and that doesn't work in sigs. Try this:
1) Go to your sig box and click on the insert image icon (next to the smiley face)
2) Type in the image url (as above)
3) Once your image shows up in the box, click to the right of it and drag left, to highlight it.
4) Click the link icon (the little chain 7th to the left) and type in your website url. Click insert.
5) Click Save Changes.
Sorry for the bad info mate, hopefully this works for you.