I think that's a good choice.  The swing-based designer does require
some knowledge of the different layout managers in order to develop an
interface that works, but that does have the advantage that what you
prototype can actually be reasonably implemented in Java.

There is also the Eclipse-based visual editor, (Google Eclispe visual
editor), but it is likely to be slightly more difficult to install.

Another really nice choice if you happen to use Macs is to use their
Interface Builder to develop the initial prototype.  It is very nice and
can be restricted to, for example, Swing-based components.