I've actually done this, so I know what you're talking about there. Once when I imported a MIDI from somewhere else, however, there were these strange lines in the sequencer and whenever they appeared, the notes would bend pitch to a specific way. I was never able to figure out how it worked though.
Your way DOES work, and I've used it, but it wouldn't work for doing crazy dives and stuff.
...man, I need a keyboard with a pitch wheel or smth.