"Well since you are doing an anamorphic set, you don't have the option of burning them into the black bars, really. The black bars that would be put there on a 4:3 TV are not part of the encoded video (I realise you probably know this already)."

Incorrect. The black bars are manadatory in the MPEG.They must be there to create a "legal" 720x480 frame. If you look carefully at an anamorphic transfer of a film with a ratio other than 16x9 played on a 4x3 television, you will see that the bars immediately above and below the picture can be a different shade of black from the rest of the TV screen. Since SW is 2.35:1 instead of 1.78:1, then you will need the black bars. That being said, I had no problems burning subtitles into the black bars.

"And on a Widescreen TV they would look really weird so far down."

Have you seen such subtitles? I thought they looked fine on my transfer.