I always used keilmillerjr's method of CTRL+ALT+DEL and running explorer as needed. It's fine. You really shouldn't need it that much once you are set up correctly. Maybe to add or remove a game.
If you are on a CRT, I would also recommend setting up hotkeys (I used Autohotkey) to change resolutions. So on my CRT cab it would normally run in 320x240, but if I dumped out into Windows I would need to switch to 640x480 (or 800x600 if your monitor will display) to make it even useable. Windows 10 didn't work well at 320x240...
This is also good in case something screws up and an unsupported resolution is attempted somehow, you can hotkey back into resolutions you know work correctly.