I just ran a simple MySQL CREATE TABLE statement that produced the line
\"Query OK, 0 rows affected, 1 warning (0.07 sec).\"
I
SHOW WARNINGS is the only method I'm aware of, but you have to run it immediately after a query that had warnings attached to it. If you ran any other queries in between, or dropped the connection, then SHOW WARNINGS won't work.
The MySQL manual page for SHOW WARNINGS doesn't indicate any other methods, so I'm fairly certain that you're stuck with it.