Ray,
You've got the right idea. I use a small piece of plastic tubing through a hole in the top of the fuse and run the wire through that. (If you use black tubing, it kind of looks like an antenna mast on a full scale plane. )

I would also recommend use some type of "strain relief" inside the fuse where the wire exits. That way if the antenna catches on something, you won't rip the wire out of the receiver. An arm off a servo control horn works well. Use two of the holes, thread the RX wire up through one and down through the other. It won't slide on the wire, and when it gets to the exit hole in the fuse, prevents the wire from pulling any further.

Good luck, and have fun.
Dennis-