Yeah, you could either do that, or go into the Window -> Relationship Editos -> Deformers Sets, then choose your set for your lattice.

Muche easier with script though.

//even better with a quick for loop (only 2 extra lines)
//select all objects you wanna add to lattice then shift select the lattice last

string $selSet[] = `ls -sl`;
int $size = `size ($selSet)` ;
select -d $selSet[$size-1] ;
string $sel = `ls -sl` ;
string $lattice = $selSet[$size-1] ;
for ($s in $sel) { lattice -e -g $s $lattice ; }

//should work, haven't checked, ain't got Maya on laptop but just giving you general idea

and converted to python:

import maya.cmds as cmds

sel=cmds.ls(selection=True)
lat=sel[-1]
objs=sel[0:-1]

for obj in objs:
cmds.lattice(lat,e=True,geometry=obj)