It sounds like you've got it right....
I just got my spousal visal from the Chicago consulate in May.
My British husband was in the states on a visa waiver and we got married on May 6th. I believe we went to the consulate on May 26th to get my visa. We filled out the application and paid online and made our appointment. You are right that visas are almost always issued on the same day. However, I had a little trouble with mine because I had been denied entry to the UK once. Because of this, I had to wait for them to get information from the UK on why I was denied entry. I was a little frustrated since I filled out the application online and it included a section that asked if I'd ever been denied entry, when and why. I wrongly assumed that they would have looked up that information before I got there. However, it seems like they don't look at your application at all until you're there in person.
Overall though, the process really wasn't that difficult. It's just scary.
I can answer any questions you have about the Chicago consulate.