That works, but it probably won't get all the bubbles. Air is obviously less dense, so a valve at a high point in the circuit would work better.
A small amount of air in the system won't cause too many problems, but it reduces the efficiency of the system, and a larger amount of air in the wrong place (pump) can cause the circuit to stall.
An air scoop does a much better job of removing air. It's essentially an air trap with a float (not unlike a toilet float). The water flows over some turbulent material, and air is broken up and directed to the top of the scoop. Once enough air is in it, the float sinks and opens a valve allowing the air to escape, and water is allowed back in and closes the float.
If you keep your circuit connected to the mains - with a check-valve - the process is automatic, and you generally don't have to worry about it. Air goes out, and the check valve puts a bit of water back in to keep the system going.