Yeah apljdi, that’s the problem – I have nowhere near the bandwidth to download the images from someone’s Vox account to my webhost and then make the WXR file use a URL off my host with the extension appended based on MIME type.
I appreciate the suggestions from both of you jrevillini and apljdi, but it looks like I’ll just have to shelve this one until Vox starts adding extensions to its images and/or WordPress starts recognizing mime types on attachment URLs.