You eat it with gusto and without pinkie fingers in the air. And if you do it right, grease is everywhere but on your clothes.
;-o)
The best we can do here in Atlanta is The Mad Italian or Philly Connection. The Connection imports (or did import) their buns. I always get mine with onions. Yum!
They're not UNDULY greasy -- of course, speaking from the home of Southern Fried Everything, what do I know?