alternative to distinct on?

I'm told "select distinct on" or even "select distinct" is inefficient
because it selects then discards rows.
However, I'm stumped to find an alternative to this query :

select distinct on (user_id) * from bids where auction_id = 3 order by
user_id,created_at DESC;

I'm trying to retreive only the last bid for each user for a given auction.
I'd appreciate any suggestions.


The schema:
CREATE TABLE auctions ( id serial NOT NULL, user_id int4, title
varchar(255), body varchar(255), CONSTRAINT auctions_pkey PRIMARY KEY (id) )
WITHOUT OIDS;

CREATE TABLE bids ( id serial NOT NULL, auction_id int4, user_id int4,
amount float8, created_at timestamp, CONSTRAINT bids_pkey PRIMARY KEY (id) )
WITHOUT OIDS;

CREATE TABLE users ( id serial NOT NULL, username varchar(255), CONSTRAINT
users_pkey PRIMARY KEY (id) ) WITHOUT OIDS;