Benhurr - thanks for that. Thats more or less what I thought, but it still seems a particularily risky thing to do when you're only 500 foot above a housing estate !!!
Personally I would go around and tell ATC that I was doing so. But having trained at an A/G field and doing most of my flying out of one, I'm not too sure about how well ignoring an ATC instruction would go down....!