I recently read something about custom pragmas being allowed in experimental and future releases of Perl. So, I'm thinking that for the user, it might be a good idea if you make it a pragma. That way, its scope will be lexical, and outside the embedding block, floating rounding will happen as usual. Well, that's my basic idea, anyway; I'm not sure you can successfully use pragmas for this purpose. integer is a pragma, and my role model here.
in reply to Is there a better way to call fe(get|set)round?
Another idea is using a global tied variable (setting a value will call fesetround() and reading it fegetround()), so you can use local on it. Hence, the scope will then be temporal instead of lexical, so calculations in other modules will be affected while called from the current scope. And when you leave the block, the old value will be restored.