The problem with putting the bow through the bridge legs is it can make an ungodly racket if you're not very careful- fine when you're changing between pieces but good for provoking the conductor's wrath if done in the middle of a piece! Also, I would worry about it rattling?
Pete1967, I take it you play German bow? If the OP is also playing German the last method you suggest is excellent (from what I've seen of other German bow players); if you're playing French bow though it doesn't really work, for me anyway- my fingers are too big to fit through the frog! Instead I just use the second and third fingers, without changing the bow position much- that works for all but the most frenetic pizz stuff IME.