I do a lot of audio & op-amp stuff this way, just as you describe. Use positive from (+) A, bind (-) from A and (+) from B to define ground, and negative from (-) B. I use a tracking power supply so that + and - supplies will be the same magnitude, but a individually programmable power supply works too.
Just a bit of advice-you may want to use leads with larger diameter wire & banana plugs so current can flow more freely, instead of proto board wires.
Edit: I don't know much about your particular PS, but I'd guess it would work fine, as others have mentioned.
Edit two: sorry, it's been a long day.
You mention setting power supply one and two to 5V. Perhaps it's an error; but in the eventuality that it's not, it'll only yield +/-5V. Yes, you'll get a total of 10V measured from +terminal on A and -terminal on B, but that doesn't equal +/-10V, only +/-5V.