Personally, I'd keep the same setup you have now, but change the redirect for a forward. That avoids sending a header back to the client and having them make another request.
So, in particular, I'd replace the
<%
response.sendRedirect("/myproject/MyAction.action");
%>
in index.jsp with
<jsp:forward page="/MyAction.action" />
The other effect of this change is that the user won't see the URL in the address bar change from "http://server/myproject" to "http://server/myproject/index.jsp", as the forward happens internally on the server.
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