If you take fancybox for example and look at the html source, it is correct that they use two images. This isn't actually necessary because you could use the larger image and also use that as a thumbnail by letting the browser scale it down.
The reason they use two different images is that this way the thumbnails take less bandwidth and therefor load faster. My advice would be to do it that way but if you really don't want to you don't have to of course.
http://fancyapps.com/fancybox/#examples[
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Good luck!
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