Um- sort of. That will work as long as you only go to the first click. If you go all the way in, you'll be shorting your effects loop to ground (sleeve), of course. In that case, you'll get no signal at all either in the main path or the steal- and therein lies the rub.
I always keep a few special insert-stealing cables around, just for good measure. They are unbalanced cables with a TRS plug that has tip and ring shorted, just as was mentioned at the top. They tend to be somewhat more reliable than doing the "first click" insert steal: all it takes is a minor jostle (expecially with cheap plastic TRS jacks that are so common these days) to either break the normal, or disconnect the steal, or both. With the insert-steal cable, you can seat the plug all the way until it latches properly on the tip, and it is much more resistant to mischief.
I also always paint the TRS connector shell red on these, so that they won't be mistaken for a balanced/unbalanced adapter cable: if you tried to use one in that application, the shorted tip and ring would lead to more than a bit of annoyance!
You certainly don't _have_ to go to this trouble, as has been pointed out. However, if insert-stealing is going to be a common part of tracking with your rig, it does pay to build the cables. There's nothing like having the channel drop dead right in the middle of The Take, when the guitarist kicks the leg of the table and the cables move just a bit...