I'm inclined to agree, Dominik, even though I've become well-used to the "Devanagari-QWERTY" keyboard and don't really notice its inefficiencies. In any case, it was an oasis of relative sense in the otherwise awfully mired world of Devanagari input several years ago, where Windows input methods were particularly confounding. Google's Input Tools (which Charles DiSimone posted to this thread) have a Sanskrit component which works in a manner very much like you describe your Ubuntu experience. It seems quite nice. They also come in an offline-Windows version. I'm curious if there is something similarly accessible for us Mac users.
-Tim