In the absence of a style guide saying otherwise, your approach is fine. (So is abbreviating to "Fig.", though I prefer to spend the extra three letters and use the full word. It's also consistent with "Table", which I haven't seen abbreviated as "Tab.".)
Whatever you do, be consistent -- refer to all of your figures as "Figure N" and use that same text in the figure captions.
If the figure isn't immediately adjacent to the text, use a cross-reference. I believe all modern documentation formats support this.
One final thought: if your style permits this, for step-by-step instructions consider dispensing with the figure references. Do the 15 screen shots involved in configuring such-and-such preferences for your product really need to be individually numbered and listed in the table of contents (or table of figures)? Consider instead the following style:
Select "File -> Preferences" to open the preferences panel:
[screen shot of preferences panel]
Select the "Advanced" tab:
[screen shot of advanced tab]
Click the "Configure SSL" button to (blah blah blah):
In this style, the screen shots become part of the narrative. This only works if each screen shot is only relevant once, in its immediate context; if you'll need to refer to them from elsewhere in the document, numbering will make that easier.