I have the best results doing the same thing. I also have canned cold filled jars in the cold water canner, then heated both up, BUT sometimes they have leaked even though I use those rubber grips and really turn them closed. When I go hot filling into hot jars into boiling water, and sometimes heat the lid in boiling water and put it on THAT way, I never have a leak.
Agreed about cold to hot or hot to cold and the jars cannot handle the stress of expansion and contraction, so they crack.