Yes, that's the scheme I usually use. The advantage of your scheme is, that the electrolytic cap has only to withstand a reduced voltage and can be kept considerably smaller.

The scheme from Erik has the advantage, that the RC combination additionally works as a low pass filter reducing the supply current and corresponding ground return current running across the board.

Unfortunately, this current saving scheme makes only sense if the series resistance of relay is rather high, otherwise the cap becomes huge. An example: A typical 10A/250VAC 5V relay with series resistance of 47 Ohm like the Omron's G2R shall be used. To keep the relay turned on the voltage should not fall below 2.5V. So, the current limiting resistor becomes also 47 Ohm. Providing a time constant of minimum 100msec results in a cap of >4200µF!

This scheme is useful, though, when polarized relays are used with a rated voltage of 12V or even 24V.

Kai