No you done the right thing. If you had sent your appeal to the Embassy they would have written back to you advising you to send it to the UK thus causing a delay and possibly late submission. I learnt the har way. Good luck
marco did you get a solicitor to hanlde your appeal? one solicitor would charge me 900pounds almost equivalent to the the fiancee visa fee. my bf and I just prepared the documents all by ourselves since our case isnt that complex.