You could also try this a new splunkbase app called "importutil". It lets you import input from an http, ftp, or sftp url via the splunk search command line. sftp is experimental.
http://splunk-base.splunk.com/apps/69078/importutil
Here is an http example that imports data from the federal reserve economic data website:
|importutil http http://research.stlouisfed.org/fred2/data/PAYEMS.csv
| multikv
| table DATE, VALUE
Set this up as a scheduled search. So it will hit the URL periodically.
Yes, use a scripted input. Splunk calls your script on an interval and your script makes the call to you service and emits the results on stdout which Splunk then indexes.