If you are talking about management server and not gateways, and are not referring only to Gaia configuration, but the Check Point objects, policies, etc., then the approach you have described is a good one.
Just make sure that if you are moving from appliances to VM and back to appliances, naming of the interfaces will be different on VM. If you want to preserve naming of the interfaces, you can do so by following sk69621.
Additionally, you may want to pay close attention to the partition sizes of the VM and whatever you do, do not deploy it from OVF, use ISO with Open Server as a platform.