It's the most sensible first step. Instead of a total shock to the markets, this would allow us to keep some of the benefits while it's actually sorted out what we want to do.
We'd be out of the EU by definition but in the market just like Norway and Switzerland, which is what some people in the Leave party actually want. Some want a more hardcore leave, but there is no plan about totally abandoning the EU and this vote was never about that.
What Leave should have done is come up with how much we want to abandon the EU, but they can't, because if we voted to leave they all have their own ideas of what we should do and would be at each others throats. Remaining in the EU single market would probably win because not only would all of the Remain politicians actually want it, but a good chunk of the leave campaign too.
I don't see another way of doing it quickly unless you want to fuck our economy up to a ridiculous degree for a few years. This way, you're out of the EU like you wanted and the rest of the strategy would need to be forthcoming.