Yep that's the best way, have your mate jump to a quiet place on the map and then goto your map, select the players tab then filter and select friends. Select your friend on the map, zoom in and then click to join him, if he's still and it's fairly quiet you will jump right into his session. Then just lock each other and you can drive for as long and as far as you liek without losing each other.
One tip that not a lot of people know is Bookmarks can be jumped to without leaving the road or entering the map. So say for example you want to meet in the city but it's too busy all the time, when you're in the city press Start > Options > Bookmarks > New > Take pic > Name bookmark. Get your mate(s) to do this at roughly the same point.
Now jump to that quiet spot and meet up and then say jump to City bookmark and all you do is press Start > Options > Bookmarks > LIST > Select the bookmark you want and activate it. The game will load and warp you to that location with your mates still with you and if they do the same you can jump all over. This is also great if you get hassle online from players. You just stop and say Jump to Airport, Racetrack, City, Harbour, VW dealer etc... And if you're all locked you can have hours of fun together.
Hmm I think I'll post this in General also.