Loading them all is ok if you have trivially few of them, but what if there are several hundred big images? You'll run out of memory!
Loading from disk etc is ok, but can be annoyingly slow.
The smart way is to pre-fetch the next image from disk as soon as the current image has loaded. You can then do cute transitions to the next image.
This only needs the current and next images - two.
For smart stuff you need a buffer of three, with a moving buffer pointer. That way the user can go backwards or forwards predictably with transitions. I did this a (very) long time ago on the CDTV/CD32 where there really wasn't much RAM to play with, and fetching from CD was fairly slow. The pathetically Mac-obsessed company I was working for were devastated when they saw how fast it was - beat the Mac hands down, and their badly coded PC version!
Simple techniques like these can make all the difference to the user experience, and lift what looks amateurish into something that looks polished and professional.
-- Jim