Kevin can provide the definitive answer.
But, it appears you have the basic idea. In Step 3, Somehow Config the "fromClientQueue_proxy" to point at the recorder. When you set up your recorder, point the recorder's Proxy Request queue to the "fromClientQueue_proxy", Step 4, points the Recorder's Live Request to the "fromClientQueue". Do the inverse on the Response side.
Step 5, Recorder's Live Response queue points to "toClientQueue" and Step 7, the recorder's Proxy Response points to "toClientQueue_proxy".
Your client will write into and read from the proxy queues.
Here's a sample view of the queue names. Disregard the other settings in the picture as yours may or may not be different -- just wanted you to see how the recorder potentially looks. (this is a snapshot from DevTest 9.1)