Sharing CSS stylesheets across different domains

What you suggested is fine. I'm not sure that there is an advantage called "cross-domain loading", but hosting your style sheets in another server is a very common practice. This other server is known as a CDN, or Content Delivery Network. Here's some information about CDNs and their advantages:

http://www.sitepoint.com/7-reasons-to-use-a-cdn/

Also, pro-tip: do some DNS prefetching if you're going to use a separate domain to host your files. It's as easy as:

<link rel="dns-prefetch" href="//myexternalcdn.com" />

try to separate layout structure and templates and call everything from the same domain

<link rel="stylesheet" type="text/css" media="all" href="fileserverdomain/css/structure.css" /><link rel="stylesheet" type="text/css" media="all" href="fileserverdomain/css/firsttamplatename.css" />

OR

<link rel="stylesheet" type="text/css" media="all" href="fileserverdomain/css/structure.css" /><link rel="stylesheet" type="text/css" media="all" href="fileserverdomain/css/secondtamplatename.css" />

Benefit of this solution is that you can adtionaly offer switching templates :D

You can use this filter, to filter out styles with any condition or alternate output href string, example:

add_filter( 'style_loader_src', function($href){if(strpos($href, "name-of-allowed.css") !== false) {return $href;}return false;});