sudo is the best and proper way to do it. If you give your user account too many administrative privileges (for example, adding yourself to the
root group), you open yourself up to accidentally doing all sorts of harmful things. Also, malware/trojans could use your privileges without your knowledge to do nasty things. Just think of typing
sudo before a command as an extra check - "Do I really want to run this?"
You can set up
sudo (it should already be this way) to wait a specified length of time before asking for your password again, so if you're doing a bunch of admin tasks all at once you don't need to keep entering it.