Yes, that's the clean Unix way of doing things. For better or worse, though, PLINK is designed to generate more than one relevant output file at a time, so there is limited value in retrofitting it to be able to dump a single file to stdout.
So I will just target the common gzip cases. VCF output is perhaps the most common case of all, so the February 6 development build has a basic "--recode vcf gz" implementation. I will try to speed it up (on multicore systems, at least) over the weekend.