The procedure above is correct, but there is additional options you may wish to choose.
1. The shape(s) for the Region do not have to be drawn on the All subclass of the Constraint Region class. You may create the shapes on any etch layer, or the special layers of Outer Layers (i.e. Top and Bottom), Inner Signal Layers, or Inner Plane Layers.
2. You do not have to use a Spacing Constraint Set for the Region. You only have to specify the constraints that you need specifically for this region. By only specifying the pin-pin constraints that you need, you'll improve the drc performance and you're constraint methodology will be easier to understand.
3. Regions also support Physical and Same Net Spacing constraints.
4. When creating the shape, you can select a Region name from the "Assign to Region" drop down on the Option panel, or you can type in a new name. Any new name will automatically appear in Constraint Manager in the Physical, Spacing, and Same Net Spacing worksheets.
Also, in case you weren't aware, there is no limit to the number of shapes that can be part of a Constraint Region.