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Yes, ftp is definitely the better way of transferring stuff to your xbox. Once you've done it a couple times, you'll see, it's really not that difficult, and in fact much less of a hassle than burning a CD every time you want to upload something to the Xbox.
Also, if you're connecting your computer straight to your Xbox, make sure you have a CROSSOVER cable, like Ossan said, not just a normal ethernet cable. You can usually buy 10 ft crossover cables at Radio Shack for like 10 bucks. You can probably also get them just about any place you buy computer hardware.
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