This might not apply for you, but when I'm encoding my DVDs with Handbrake, I can choose to have the sub-titles displayed (meaning, they are always on-screen, no way to turn them off).
If you're getting movies some other way, well, yes, hopefully sometime the OSD will have sub-title file functionality.
Yes, you are right. When it is an option (and I have the time) this is what I do.