You can do that on older 7/8speed chains but it weakens the link a bit. On 9 and 10 speed it weakens the link beyond safe. It is always easier, quicker and cleaner to use a master link such as SRAM powerlink. They come free with every chain. Practice unliniking on a clean chain off the bike, it is harder when they are dirty.
Relinking the chain using a chaintool is a bit of a lost art and useful to know for a backup.