Yes, back when radios glowed, a dummy load was a fairly essential shack accessory, and this is part of why. A dummy load is the right way. The wrong way is to get the transceiver tuned up well enough to put out a signal that you can use to tune the tuner, then go back and refine the tuning on the transmitter. However, after you've tuned things up a few time, you'll have some idea of what the setting should look like on both the tuner and the transmitter, and you'll be able to get fairly close without much tuning.
It's always a good idea to keep track of your settings for each band, just for this reason. It will also tell you when something changes, which may be an indication of a problem somewhere.
Another option would be to use an SWR analyzer or a noise bridge to tune up the tuner before tuning the transmitter. Noise bridges were also fairly popular in the latter tube days.
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