Wow. I've used both jEdit and winscp for quite some time but never knew about this configuration. Thanks for the excellent hint.
Total Commander (Which I can't use becouse it lacks SFTP support... :( ) copies the remote file to a local temporary folder, calls externel aditor with THAT filename, and when I close the editor, it transfers the file back. That's nice, it saves me some steps :wink:
WinSCP has this functionality too, since version 3.0! You may specify your preferred editor in Preferences.