That is one way to do it, but the problem is that in Windows programs, you have to think just a hair harder to be sure which windows the numeric hotkeys on the Windows menu refer to. If you load the board first, then switching to the board is ALT-1. If you load the schematic first, then switching to the board is ALT-2, and requires that the board layout already exist.
It's only really an issue if you use a lot of keyboard commands. I do, so I prefer to use File|Switch to board. That way, the keyboard command to switch to the board is always ALT-F-W--and when you're on the board, the command to switch to the schematic is always ALT-F-W as well. Also, if the board has not yet been created, this command asks you whether you want to create it first. With the Windows menu, the option to go to the board doesn't exist at all until the board exists, and it won't automatically ask you to create it.
Torben