Not an expert. It seems to me that you’re generally doing it right.
The URDF format can reference 3d files in a variety of formats, not just dae, (including from a brief search: dae, obj, .mesh, stl). Loading those referenced meshes with subsequent calls. Unfortunately, URDF files do not require a “name,” so the standard method of selecting which meshes to load (with name parameter) won’t work.
Note also the newer method of loading using appendSceneAsync but I’m not sure how flushed out it is (the examples are primarily using gltf format).
One thing you might have to work out is how to specify any options for the subsequent loads. Or just try the defaults and see how well it works!