I've found that the above steps do work, although it is tedious!  Here are some keyboard shortcuts that I've found will speed up the process a little:
When you get to step 3 (you're back in the report with the list of transactions), if you press <Enter> the next transaction will open for you (without having to double-click on it). Click in the "Class" field and press <Ctrl-C> as noted above. Then press <Alt-A> to save the edited transaction, then press <Enter> to accept the changes.
Repeat for each remaining transaction.  This only requires you to do ONE mouse click per transaction (to choose the Class field) and you can do the rest of the steps via your keyboard!