If I understand the question, that is the only way you can do it.
In Camera Raw, there are many ways you can "edit" the image, using adjustment brushes, local adjustments, spot healing, etc. These are non-destructive edits, which are stores as "recipes", and do not alter the original image data.
If you want to then use Photoshop to retouch, composite, and use filters, etc. you have to save the converted file as a PSD in order to save the Photoshop layer work.