Thats the way we did it. It broke my heart to hear ginger cry the first few nights (and ever as it does happen throughout everyones lifetime!) but now she loves her crate and definatly feels safe there.
It took a few nights before she stopped crying. Then she would cry around 6am and we'd take her out to use the bathroom. From everything I read and have been told thats the way to do it. Dont feel bad that your putting her in there, she needs to feel that she has a safe place to go and that will become her "den" and prove so valuable to you and her in the future.
If you do continue to pick her up every time she cries, she will continue to cry and get your attention and get picked up and it becomes a vicious cycle. I imagine much like with a small baby they learn what they can get away with!
Estee-Mom to Ginger
one of the best things to ever happen to me!