I have used that method before. One thing to watch out for is that if you want to measure high currents (like the 5A on your meter), you should use very short and heavy gauge wire. The alligator clips shown in the OP likely have a decent drop across them, and the 4.2V out of your power supply is likely much lower at the light. If you have 0.1 ohm resistance in the leads, you are dropping 0.5V with the 5A shown. So instead you have 3.7V at the light. Ideally you would measure the voltage right at the light, and adjust the power source such that you have the desired voltage (4.2, or whatever you are trying to characterize) right there.

The highest currents I have measured in my lights is about 3A. Much more than that ( and likely even at those levels) you should be very careful about wire and contact resistance if you want accurate results.