If you have access to the ejb-jar.xml of the external EJBs, you can add the same interceptor binding. I consider this legitimate by the specs, it is the Deployer role.
If you do not have access to the external EJBs things are trickier. Ideas: (never implemented any ot them though) You may use AOP to instrument the bean implementation classes. It may even suffice to instrument the business interfaces, in which case you will not have access to the transaction context etc, especially for remote clients.