Question should be in Products -- please move it so we can continue over there.
If you want to track Clicked Email activiites, this is already built-in (there's no need for links to be on your site).
If you want to track Visited Web Page and Clicked Link activities -- that is, the web side -- then you can send people to a redirector page, yes. (It can't be an actual redirect as in Admin » Landing Pages » Redirect Rules, because those are HTTP-level redirects that cannot fire Munchkin.)
There's one problem with using the native Munchkin library for this: it has no equivalent of the Google Analytics hitCallback, an incredibly valuable feature you can use to redirect immediately after a hit is successfully logged, no sooner and no later. This feature gives the lead the fastest possible response while preserving tracking reliabilty. (We use our Munchkin Enhanced library to provide this functionality with Munchkin.)
In the absence of a hit callback, you'll have to use a best-guess timeout before you redirect, hoping that Munchkin has completed its request phase in that timeframe (the response phase isn't relevant). The shorter the timeout, the better the user experience but the more likely you'll lose hits. You could start with 3 seconds, because you have to consider leads with unprimed caches (they need to download the Munchkin bootstrapper and library files first, which while very fast are not instantaneous).