Thank you all for your advice. I think I'll go with sybrens advice and buy an external GPS unit and retrofit the pictures with the GPS information. That way I'll hopefully get the best of both worlds.
I tried to have a closer look at some pictures taken with an iPhone, and the GPS coordinates are nicely embedded into the EXIF-information of the pictures. I used this simple tool to read the EXIF information of the pictures:
The world is a strange place - Exif Toolbox
Thank you for your advices.