This usage is apparently not supported. Taken from http://www.netfilter.org/documentation/HOWTO/NAT-HOWTO.txt:
6.3.7. Altering the Destination of Locally-Generated Connections
The NAT code allows you to insert
DNAT rules in the OUTPUT chain, but
this is not fully supported in 2.4 (it
can be, but it requires a new
configuration option, some testing,
and a fair bit of coding, so unless
someone contracts Rusty to write it, I
wouldn't expect it soon).
The current limitation is that you
can only change the destination to
the local machine (e.g. `j DNAT --to
127.0.0.1'), not to any other machine, otherwise the replies won't
be translated correctly.