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.
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?