Gas Grill from Main Propane Tank: Is this right?

With your regulator as part of your hose I think your proposed setup will work fine. The only thing I would suggest is rotating the adapter so the 'Out to Grill' connector is in the 12 o'clock position, which would put the 'In from Auxiliary Tank' connector in the 3 o'clock (or 9 o'clock depending on which way your looking at it). Otherwise actually connecting the auxiliary tank hose would be difficult.