That's pretty much it! I'd start with one of the branches that come from the base of the stalk as a side shoot I believe, rather tha one of the main branches just to be safe. It's important that the branches be roughly the same size, and and the very least that the one on the plant with the roots still attached be the same size or a bit larger than the branch being grafted onth the plant. Once again, I'd urge you to be careful and not ruin a perfectly good plant, especially one you've overwintered once, and plan to save again this year.
Also, you should try to be VERY sterile with the operation. If possible, do the cutting of the rootstock plant or preferably both indoors with little air movement, or at least on a nice dry day outside. Moisture in the air could lead to fungal or bacterial contamination of the graft. Also, if use a very sharp instrument to do the cutting with, like a razor blade or a very sharp knife, and sterilize the blade by dipping into very high proof pure alcohol (everclear if available) and then lighting on fire. Allow to cool enough not to burn the plant, and do your thing.
I'm not going to condone this, simply because I'd hate to see you hurt yourself or a plant. However if you're feeling like you want to try something crazy, or are just feeling squirrely, do some research before you go for it. Read up on the internet a good bit at the very least, if not check out a book at the library. Also, I know there is grafting tape and also grafting wax that can be purchased to seal the two pieces together and prevent disease.
Here's a quick pic of one kind of graft that can be done. There are many different grafting configurations and techniques, so do your research and try to find one that's been successful with peppers and or solanaceous plants..