Yea, easiest/cheapest solution is probably just that.
Write the character path using a material into a RT, then present the render target.
Cost wise, its cheap if done right.
You arent rendering anything, you are taking X/Y and applying a marker into an existing image.
Open up the Old content examples (4.x), look at the render target water for an idea of how to do it.
They have a material that draws your position and fades it back out over time.
One of the other example on the same map has a simple write to based on X/Y which is the basis of what you need.
For Zelda, this is likely the exact process used.
The other approach would be to periodically store waypoints as x/y, then draw vectors using curved baziers / maybe just using a spline.
The results of that will almost never be any good or accurate, but depending on what you are doing it could be what you need to do…