I love this technique!! When testing out, you tend to set up the worksheet actions. These then can be quickly converted to dashboard actions. It saves a lot of time sometimes.
I like using your tip of setting the source to the data source from the start - any draw backs to using that method? This is one of those things that should be built into the product, IMO.
The drawback of that method is that it's applied everywhere. You might not want that action on one sheet, so you'd then need to change the action anyway. I think it's more prescriptive to do it one worksheet/dashboard at a time.