Yes, that's the correct way to order the statuses... kind of. You would just want to make sure that the group that the project is set to is the group you select to set the order on, in the Setup area.
e.g. if the project containing the request is set to the Marketing groupID you should change the order of the statuses on the Marketing group rather than the System.
Potentially if you remove the groupID from the project, the system statuses and their order might then come into play, but I really recommend against that.