There is nothing wrong with leaving your email clients as-is exactly as the Gmail Help documents instruct. Unfortunately, you will start to see a little inconsistency between your email clients and your Gmail web interface.
I just found this site that helped me get the Apple Mail to handle Gmail's accounts just the way I want them to! Basically, a tip to filter out the labels in gmail - I want to make my own smart-folders and wish not to have double emails (one in "All Mails" and another in the filter(s) in question). Also, the "use this mailbox as *" tip was handy, as it gets integrated "the right way" in the Apple Mail Client. I can be so happy when I get a bit more organized, sometimes! :)