I'm using essentially the same strategy. Basically I split feeds in two categories:
"Fresh" ones I either read on the spot, or mark-all-as-read. These are the ones I usually check frequently, and very quickly. And I don't have to feel bad about marking all as read :-)
"Evergreens" are ones I like to read entirely, but not necessarily now.
I'm using Google Reader, but these days mostly through the splendid Reeder on the iPhone (http://reederapp.com/).