That is the best way. You can pay for third party software to let you download items but I think they arrive in an unstructured form so if you value the library in its entirety I would transfer it. A NTFS drive can be read by Macs but Macs won't write to it (may not matter in this case). FAT can be both read and write, with limitations that likely don't apply in this situation. If necessary you can copy the folder in parts but make sure they get back together.
iPhone backup files are stored in a different location should you wish to move them too:
http://osxdaily.com/2009/09/11/iphone-backup-location/ - in Mac OS X your iPhone files are backed up at the following location: ~(your home directoy)/Library/Application Support/MobileSync/Backup/
in Windows XP:
C:\Documents and Settings\user\Application Data\Apple Computer\MobileSync\Backup
in Windows Vista, Windows 7:
C:\Users\user\AppData\Roaming\Apple Computer\MobileSync\Backup
Anything you have purchased from Apple can be copied off using the instructions I posted earlier. Items from other sources you have to use third party software or move the library.