Yep, that's what I do, except I don't fill the filter first. I just leave the bleeder open and prime until diesel comes out, then shut the bleeder. Prime it a little more (until it gets hard to push), and it will fire right up.
It's not really that hard, just kind of annoying to have to take the fender liner off. I've done it without pulling the fender liner, but it was a PITA. I always pull the liner.