Scott
Dan is correct - if you have a *.tfw and copy it, then rename with extension *.jgw it may simply work - but note the world file doesn't include projection information, so if you're working in different UTM zones, state plane, etc. you've still got potential for confusion.
I'm guessing that the data volume and processing time to create your JPGs is about the same as if you just used the GeoTIffs and built pyramids in external files. Then you wouldn't lose the georeferencing, or degrade the quality of your full resolution data. Is there a reason you're not doing this?