You don't, but I've tried what you suggested and it fills with thousands of xml files attachments you have no hope of reading. You could just ignore them, but that gets down to what I mean by "doing it properly".
yikes. for me/clients it's just marketing so deliverability is more important than actually reading all of the reports. i guess some could potentially have an 'attack' where someone tries to spoof so I'm going to do some more research see if I can find a better solution.