That is the way I always add CYA - directly into the skimmer. Works fine.

In the thread ChemGeek referenced it states:
1) Put CYA into panty hose and have it hang over the side of your pool over a return. That's PatL's idea and people swear by it. Dissolves in about 24 hours.

I can't imagine how that would make any difference. Hanging over the side in front of the return is water running over it. Having it in the filter -- is also having water continuously washing over it. Seems to me there shouldn't be any difference then in the amount of time these two methods dissolve it.