No, it isn't the proper way. That only works if you can see the skip link and know to press enter. Otherwise you will tab straight into the navigation. So possibly useful for screen readers, but completely useless for most keyboard users. Yet another stupid webdev workaround for a selfimposed problem.
What you should do is autofocus the first form element (if there is a form), give it tabindex=1 and number the other form elements in a sensible ascending tabindex order. Otherwise, proper semantic markup is sufficient, even for screen readers.