Welcome to the Forum Zhiling:
Yes, it looks like the method you have proposed will work. I don't know how much space you are spanning though or how thick your plastic sheet is. If you are using Plexiglass 1/8" thick you should not try to span more than 16" or 1/4" not more than 24". I percieve this to be a skylight or something similar to that; if it is a large area (over 24") you should use flashing at the wall and extending out onto the roof. A metal flashing (copper, galvanized metal, or aluminum) should cover the crack at the wall and eliminate your problem. Let us know how it turns out.