While an external script doesn't seem like that much of a hack, it looks like you ought to be able to catch the VB IDE closing and let that trigger your action.
I'm not any kind of expert on VB6 add-ins, but there's information out there on creating them using the VBE (extensibility) object model. If you write an add-in that implements VBIDE events, perhaps you could catch an 'OnClose' or similar. As long as your project files have been saved by then, your script could do what it needs without interfering.
As I said, I'm no expert so I can't give you direct advice. But maybe this will provoke an add-in maven to chime in. (-: