I think
cloud19896 meant he ripped both DVDs to his PS2 hard disk with HDLoader, not downloaded, as in downloading from the internet. Poor choice of word, particularly here on this board, but it's probably an honest mistake. Mods should give the benefits of a doubt.
To answer your question, cloud19896, your method should work, but if it doesn't, you will just have to play the tiny bit of game between the last savepoint on DVD 1 and the first save point of DVD 2 using the real discs, instead of the hard disk. Not a big problem.