I made a similar writeup (with screenshots) in 2019.
Additionally, I made a library with custom symbols for connectors. This way you can give the signals for the inter board connectors names, and this reduces mistakes. You can also generate RefDes’ with page number offsets (either 100 or 1000) and this helps by keeping stuff separated.
Also note this is not officially supported. It may break at some time and you may need to use some creativity for workarounds.