Hi!
This setup is technically correct, and this way you will have both the dry and the compressed signal in different channels recorded in your DAW. But, maybe you would need(maybe not) to time allign them after the recording, as there will be some minor latency. Noticeable or not? I don't know, it's up to you.
This way you can use it for mixing as well.! And I think it's better to use it that way, as you can send your recorded guitar or vocal track(or anything else you like) to the compressor while mixing and not while tracking.
If you want to record 'through' it, you 'd need to go:
If you 'll be using a microphone Mic->Comp In-> Comp Out-> Line In->DAW
If not Gtr->Comp In-> Comp Out-> Line In-> DAW
But it will get printed with the compressor settings, and you won't be able to alter it later.
Hope this helps!
RME Gear: Digiface USB, HDSP 9632