How to power "Power Functions" devices from an electric wall plug?
What you describe is indeed the most common way to GBC modules, but it's worth noting that one adaptor+regulator can typically power more modules (it depends on the modules), sometimes only one end of the extension cable is used, when placed on the regulator, it effectively provides a power functions "plug", and if you want to power more modules, the wiring can get a little easier to handle, when every module is essentially connected to a regulator.

Another option is an NXT with the official rechargable battery mounted and an adaptor plugged in, and then of course NXT cables to an NXT motor (I don't remember if NXT->PF cables exists, but NXT->9V cables does and you have mentioned that the PF extension cables can attach to 9V). I have also seen modules with an RCX, I think that has a plug for an adaptor directly, but I'm not sure, I don't think I've seen GBC modules powered by EV3's yet, but there's probably a solution. - Probably more expensive, but having an NXT in a module allows other possibilities, especially if you also put in some sensors.

As Mr. Shiny and New 安宇 mentions the rechargable battery box is a third solution.

All of these solutions have the advantage that they only use official unmodified LEGO parts.