Yes,that is what you want to do. It will keep the burner from coming on and the pilot will prevent condensation from forming.

One last question. We just had a new Bradford White hot water heater installed today and it doesn't have a vacation setting like our old one did. It has one dial with very hot...hot...low...pilot. Should I be setting it on low or pilot when we go on vacation? Thanks.

Pilot because that will prevent the main burner from coming on and keep the pilot lit to prevent condensation from forming inside the tank.(just like the vacation setting on the old one)