The method you have questioned and described is called chaining, or daisy chaining. It does work, but by linking synths together using the thru ports (thru to in...), all synths connected will receive the same information (note on/off, mod, etc.) meaning; when you play a note on one synth, every synth in you chain will play the same note and at the same time. There is a way around this, and that is to disable certain channels on different devices. For example: Synth #1 can respond to channels 1-6, #2 channels 7-9, #3 channels 10-13, and on down the line.
You may want to consider a midi patchbay which will give you access to all channels on each device and totaly independant of each other. Depending on your sequencing software, if you use an 8x8 patchbay and have eight 16part multitimbral synths connected, you will have access to 128 tracks on which to sequence. As can be seen, there is a big advantage to purchacing such a relatively inexpensive piece of gear.