Sounds like it should work, although you'll have a 'WHERE IN' clause with ~30 dates in it. You'll have to ask a DBA if that is smart from a SQL/Query Optimization perspective.
I got the impression that 'petperson' wanted a dynamic current fiscal month filter though. I read this to mean you didn't want the end-user to have to pick the current fiscal month from a list.
Another way to create a static list of fiscal months would be to simply create filters that qualify on 'DATE BETWEEN X AND Y', and name the filters appropriately.
And if you think you can handle some overhead for this requirement, you could create a filter named 'Current Fiscal Month', include it in your reports, and then simply change the underlying definition manually once a month. As long as you don't change the name of the filter, any report you build using this filter should pick up the new definition seamlessly. Not an ideal solution, but it would work.