You could do it that way if you wanted, I personally just save the program to the hard drive on the "office PC" (read bedroom) then copy the program on to a USB pen drive which I then take to my machine. I think the "sending NC file option" is more for your industrial machines which only have a RS232 (DB25 Parallel Port) to load programs on to the machine.
As Mach3 is PC based you can load programs into it anyway you want, floppy, CD, Network, USB pen drive, Email, I think you get the idea.