It’s exactly what you did.
You only have to have unknown sources enabled once to install F-Droid itself.
There are also some OSes (e.g. Lineage OS microg and Fairphone Open OS) with privileged extension preinstalled (but not F-Droid apk). For those there is
https://f-droid.org/packages/org.fdroid.fdroid.ota/
To install F-Droid (I think via the updater app) without needing to enable unknown sources even once.
Exactly. 
Seems like it worked. Now just try installing an app from F-Droid while “unknown sources” is unticked.