External Link / Leaving Website Link

I did a search and came across a similar question which didn't answer my question/angle.

In my web app I am creating I have a number of links that go off my app to a third party. In the post I read it mentioned use box arrow icon.....what are your thoughts about using that and have a splash/in between page notifying the user they are leaving the app?

Thoughts/opinions appreciated

Cheers,

Chris