That's pretty much it. There is a good short cut, sort of.
Make a copy of Any Persona, say.... Mason's.
Give it a name you like.
Open the persona copy in a text editor and find the walk motion entries.
Now, go find the motions (in iClone) that it references and load the start, loop, and end into the timeline.
Use Motion Modify on each motion to adjust it to what you want.
Collect each clip that you just modified. Using names that go together is helpful.
Open the persona copy in a text editor and find the walk motion entries (if you closed it).
Set the path and name for each of three motions.
If you changed the stride length, then you'll need to adjust the walk speed as well. It's up near the top of the file.
It's easier to use Motion Modify in many cases. You won't have to do any tedious cutting for the loops.