you can load image sequences directly into adobe premiere without having to save them as a video file first. They may be huge, and may not play back in real time without rendering, but it can be done. Also, you'd have to research which video codecs would work with exr files, especially at bit depths higher than 8. Most "consumer" codecs (mp4, mpeg, etc) are 8 bit only. There are the pro codecs (ProRes, DNxHD, Cineform, etc) that can handle deeper bit depths, but there are workflow and software restrictions not to mention huge amounts of processing power needed to run them efficiently.
Or do as you said and export them in a friendly codec and see how it goes. I'd actually probably just start with the process you outlined and modify from there if needed.