Yes. I've always used the second method and I've written a simple proxy function in Visual Basic 6. The function takes an address of the assembly function you wish to execute and four extra parameters. Then it injects a number of bytes into the target process and executes them by creating a new thread. The injected assembly code then takes care of the rest.

Unfortunately I can't show you any of the code right now as I don't have it handy. I'll likely upload an example onto my server when I have time.