Formatting my Link field with multiple values
The two best ways to do this are the one you suggest by creating a tpl.php like you mention and doing your work in there directly.  Another (and preferred by many, but a bit more complex) is to use template_preprocess_field.

A very good explanation of how to go down the second route is http://www.digett.com/blog/01/18/2012/change-output-single-field-drupal-7-node

That way you don't end up with a whole bunch of field.tpls and you can isolate your changes in that function.