Cheers - I'd actually just seen that top pic, browsing for fixes. I think the second option seems a little precarious, so I'll get my pliers out and have a bash at bending around the caliper. Hopefully I won't cock it up!
I've fitted fenders both ways - the second option isn't as bad as it looks. You'll probably need big pliers if you go that route (or a vice as suggested ^...)
I'm sure some one can explain it better than me, but there's a way around it