Hello Neil -
The images displayed within the menus and products are cached once you go through the initial load at the home page. I can tell this by going to www.4-fans.com, navigating away to another section of the site, and then returning back to www.4-fans.com within the same browser session. So caching is functioning properly. When you navigate to a new category there may be images not previously displayed that need to be downloaded, but once you do that those images too are cached.
I agree with Ultimate and suggested to 4-fans in another posting earlier today that optimization of the images would be beneficial to those customers with slower connection speeds, and even for the rest of us.