It's not the only way to go with Exchange but it is the "best" approach.
If you have Desktop Mananger installed there's a checkbox to disable mail redirection while the BB is connected via USB. Of course, the BB has to be connected via USB to stop mail delivery.
That's really the easiest option and only available to BES users. Note that if there are any email accounts integrated via BIS it won't stop delivery of email from those accounts.