No, the sound should be what is called a voiceless alveolar trill. If you look that up on Wikipedia, you can find a more detailed description of it and an audio recording.
Basically, make a trilled (rolled) R, and keep your vocal folds from vibrating. Perhaps trying to exhale a H while producing the R would help.
If you hold your fingers to your throat while saying B, D, or G (all voiced sounds), you'll feel the vibrations in your throat. Contrast that with saying P, T, and K (all unvoiced or voiceless). Basically the same sound, just without the vibrations that are present for B, D, and G, right? With Welsh "rh," it's the same concept -- "normal" R is voiced (has the throat vibrations), and "rh" is voiceless (lacks those vibrations) -- remove the vibration, and you're set.