I think this question doesn't provide the right answer with the 4 alternatives.

The answer should be BIDS, when developing a Reporting Services Project!

IMHO you can not do it in Reporting Services, as this is no GUI, but a service.

However, it points out an omission in SQL 2005: there is no quick, straightforward way to produce a MDX query by using GUI to build the query. My favorite solution in this will probably be the Profiler to catch the MDX statements that clients (Excel, ProClarity) send to AS.

Can anyone share whether there will be a more straightforward solution to this in SQL 2008 (hopefully SSMS2008)?