Using CookieContainer with WebClient class

I've previously used a CookieContainer with HttpWebRequest and HttpWebResponse sessions, but now, I want to use it with a WebClient. As far as I understand, there is no built-in method like there is for HttpWebRequests (request.CookieContainer). How can I collect cookies from a WebClient in a CookieContainer?

I googled for this and found the following sample:

public class CookieAwareWebClient : WebClient
{
    private readonly CookieContainer m_container = new CookieContainer();

    protected override WebRequest GetWebRequest(Uri address)
    {
        WebRequest request = base.GetWebRequest(address);
        HttpWebRequest webRequest = request as HttpWebRequest;
        if (webRequest != null)
        {
            webRequest.CookieContainer = m_container;
        }
        return request;
    }
}

Is this the best way to do it?

Yes. IMHO, overriding GetWebRequest() is the best solution to WebClient's limited functionalty. Before I knew about this option, I wrote lots of really painful code at the HttpWebRequest layer because WebClient almost, but not quite, did what I needed. Derivation is much easier.

Another option is to use the regular WebClient class, but manually populate the Cookie header before making the request and then pull out the Set-Cookies header on the response. There are helper methods on the CookieContainer class which make creating and parsing these headers easier: CookieContainer.SetCookies() and CookieContainer.GetCookieHeader(), respectively.

I prefer the former approach since it's easier for the caller and requires less repetitive code than the second option. Also, the derivation approach works the same way for multiple extensibility scenarios (e.g. cookies, proxies, etc.).