Correct. That is the easy way to do it on the newer units which support such filenames.
Otherwise, you select some or all quads/tiles from one mapset, then do the same for any/all additional mapsets, finally sending them all to the GPSr/micro memory card in a single gmapsupp.img file. That is the only way to put more than one mapset on the older GPSr units.
The downside is that the gmapsupp.img file needs to be rebuilt every time you want to add/change/delete a quad or mapset.