That's how I do it yes. If a major decision ends up screwing me (like during my current game of Erik the Heathen, I pressed for the Kingdom to early, and got eaten by Norway and Denmark), I reload it and chalk it up as a loss.
You wouldn't believe how often I lose a game of XCOM before I win it.
I almost always start as a single county vassal count, so if I end up back in that situation halfway through the game it's not much different from restarting. Just a new challenge.
When this game was being developed one of the key ideas behind it was that it would be very difficult to hold onto all your titles for an extended period of time. That went to the wall when the game was released I imagine because it would alienate the many people don't subscribe to the "losing is fun" viewpoint, but for me it's what makes the game.
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