How should I wire multiple lights controlled by separate switches?
Your method is fine.
If your area has adopted the 2011 version of the National Electrical Code, this method allows you to wire the circuit using 2 wire cable instead of 3 wire cable. A change to the code now requires a grounded &quot;neutral&quot; conductor at all switch locations that control lighting loads.

National Electrical Code 2011
Chapter 4 Equipment for General Use
Article 404 Switches
I. Installation
404.2 Switch Connections.
(C) Switches Controlling Lighting Loads. Where switches control lighting loads supplied by a grounded general purpose branch circuit, a grounded circuit conductor shall be provided at the switch location.

So if you were to bring the feed to the light outlet first, you'd have to run a 3 wire cable to the switch location. Bringing the feed to the switch first, means there's a grounded &quot;neutral&quot; conductor at the switch, so the code is satisfied.