I don't think you need to alert the user in any significant way - for example, throwing a dialog with a "Continue Yes/No" option might be a little more of a blocker than is comfortable if this is going to happen frequently on the site. I agree that bandwidth might be a consideration, but probably not a game changer if someone wants to interact with your site.
You could throw some kind of message on the home page letting people know what to expect while you are under renovation, but I don't know if it's worth it. Are these actual redirects from what will be a mobile page to what is now a desktop page, or is it simply that the desktop page is not yet re-designed as responsive? You might consider a responsive redesign of the whole site rather than two separate sets of pages, if that's what I am understanding - a single responsive site will be more work up front, but easier maintenance down the line.