Precondition: all my sites indexed on the AMP CDN.
What is the best practice to keep the visitor on the AMP site?
The internal links on the AMP site points to the local AMP version (amp.mydomain.com/...) or to the stored AMP CDN (ampproject.org/...) version?
I don't think it really matters. It is more up to you whether you want to direct users to the AMP servers or your own. Personally, I would prefer to use my own since I don't have any control over AMP CDNs and they can change the requirements at any point in time which can result in a 404 page. Plus, I have found instances where certain elements in AMP pages I have worked on not being cached properly in the AMP CDN but work fine when accessed from the company's servers.