No, I think your doing it right but I think your missing one crucial step.
After performing the share and branch, go into .NET and click on
File=>Source Control=> Open from Source Control and select the newly
branched project. Once the project has been pulled down, and here is the
crucial step, highlight the solution ( or project if that is all that is
version controlled ) and then go back to File=>Source Control=> Change
Source Control and unbind the local project. Next, immediately rebind the
project to the branched location. That should do it.

Let me know if you have any questions.

Thanks!
Chris Cooper
Microsoft

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