Grabbing the updates from the AMS mirror should be the case by default! (i.e. normally, it shouldn't be necessary to set this up).
Anyway, if the clients are updating from the Internet, it may mean the the AMS mirror is somehow inaccessible. It would be useful to post the <avast>\setup\setup.log file from one of the machines...
BTW are you using a proxy server to access the Internet?
Thanks
Vlk