Using AS Data Mining to Add Forecast Values to a Cube

It's ridiculous, really, that OLAP and data mining functionality have co-existed inside Analysis Services for years now yet they never seem to be used together. I only ever work with the OLAP side of things and just play around with data mining - I've never done a serious project with it, unfortunately - and from what I can see the people out there working with Analysis Services data mining don't tend to use it with cubes; it's two separate worlds. Anyway, to get to the point, while I was preparing for SQLBits a few weeks ago I came up with a simple idea of how you could use AS data mining to generate forecast data which could then be loaded into a cube, an approach that I think could be easily adapted for use in most real production systems. Now, having spent an evening in a Munich hotel room testing this out, I present my findings.