I'd try something like:
<!--- Lose the forward slash at the end, CF isn't XHTML --->
<cfset imageList = "image_01.png,image_02.png">
<cfloop index="strImage" list="#imageList#" delimiters=",">
<cfset fileName = strImage>
<cfif not fileExists(TempPath & OSdelim & "images" & OSdelim & strImage)>
<cfhttp method="get" getAsBinary="yes" url="#theImgPath##strImage#" path="#TempPath##OSdelim#images" file="#localfile#">
downloading... <br />
<cfelse>
<cfoutput>#TempPath# #OSdelim# images #strImage# already exists</cfoutput><br />
</cfif>
</cfloop>
The code is untested, but I reckon it should work, or at least give you a good grasp of where you're going wrong with the paths (in case you are)