They have very recently uploaded this flow a bit. Most servers don't seem to have it yet, but mastodon.social does. Now, the first time you try to follow or do something when your account is somewhere else, it asks you to type in your home server, then takes you there to log in. From then on, it will remember your home server and allow you to see the relevant post/profile on your server with one click. So the process is now click follow -> click 'Take me home' -> click follow again. Still not great, but a lot better than it was.
Example: https://i.imgur.com/MG1d5kV.jpg