Yes that is the only way now but to me that is clear bug. In 5.0, you could easily create new data layer from selected actors, now you first need to create the layer, then create the asset for it and THEN you can move actors to it.
And that you need to do for EVERY layer, that cannot be the workflow by design.
Or if it is, then I would like to see someone explaining the logic behind that as there is none 