That's essentially what we do: copy the file locally if we need to inspect it. It's slightly more cumbersome though.
> I think that'd be advisable even if you were running postgresql.
Connecting to live prod servers is definitely not a 10/10 on the "best practices" scale, but it works well for our business (trading), where there are small developer teams that also operate, no PII in the database, and critical realtime functionality isn't directly involved with the database anyway.