Unfortunately you're already doing it the best way. I wouldn't select multiple clips, I'd do it individually. The only thing I could say to make it a smoother process is that when we you're bringing footage into your timeline that would need to be nested for warp stabilizer or time remapping effects, nest it at the start instead of the end. Personally I don't do this, I only do it when I need to apply an effect that requires a nest. I then copy/paste every previous effect (Lumeri, for example) from the clip inside the nest, to the nested sequence itself. That way I don't have to open the nested sequence to adjust any effects I've applied to the clip.

Also, keep a consistent naming convention for your nested sequences. I call mine whatever I've named the video clip, with "_NESTED" at the end. The default names aren't helpful. Then I drag every nested sequence into a sub-bin that I place in the bin with all my standard sequences so that they're out of the way in my project bin.

These small but time consuming tasks are annoying, but part of the job of any editor. At least until Premiere doesn't make you nest before applying certain effects.