I have started doing this.
I use a zero-byte file with an .overdrive extension to mark it as a loan book—might add a different one for physical library books if I ever get to go back. Then I use a VL to segregate them off from my regular library.
One advantage: If Overdrive loan expires and I need to re-borrow the book, Kobo Utilities lets me restore my position after I re-load the file onto my Kobo.
I also use the Overdrive plugin to make identifier links.