That's more or less what you're doing, yes. There are a couple tips that can improve the look of your chainmail.
#1) Don't just jab a bunch of random holes in your green stuff. I see people do this all the time and it ends up looking pretty bad, especially once it's painted. Your holes should be organized in rows, not poked at random.
#2) Good greenstuff chainmail uses U shaped holes rather than simple dots. Rows alternate in the facing of the U, so your first row the bottom of the Us will be facing right, and the next left.
#3) Take your time. Duh, I know, but chainmail is tricky and requires a bit of devotion to pull off.