I agree that MSFT still have some work to do in terms of giving us the ability to report off OLAP cubes in SSRS.

If you have Excel 2007, Marco Russo has a neat way (that I use) to view the MDX created from an Excel 2007 Pivot Table report

http://sqlblog.com/blogs/marco_russo/archive/2007/01/18/display-the-mdx-query-of-an-excel-2007-pivottable.aspx

Proclarity was/is my preferred tool though - the MDX produced is less "verbose"