In my opinion, you don't need to call .To___ conversion methods since you are expecting side-effects only. Reactive Extension's Do() method would be a viable option.
By using Do() method, you have two advantages (as far as I'm concerned),
1) Defer execution (You can defer the immediate execution if you want).
2) Do() method has different overloads to let you have more controls over iteration.
For example: Do(onNext, OnError, OnCompeleted) overload
var deferQuery = query.Do(x => a.MyMethod(), ex => Console.WriteLine(ex.Message), () => Console.WriteLine("Completed"));
var immediateQuery = query.Do(x => a.MyMethod(), ex => Console.WriteLine(ex.Message), () => Console.WriteLine("Completed")).Run();