An alternate solution to that would have been to use a Mod Tap command on your left Shift key.
That would let it do Shift when held, and \| when tapped.

The only downside I see to that solution is it would require you to hold the Right Shift key, while hitting the Left Shift key, to type the | character.
That should seem at least relatively natural though, assuming you don't use Left Shift to type your shifted characters on the left side of your board.