After advancing a bit in my protocol design I have found that I still dont have defined a way to deal with dead links (server was shutdown, client lost connection, etc). I was thinking to keep the time of last packet received and check every certain time if that mark is above the normal timeout. Is that approach correct or effective?

Yes, a time-out is the way most people do it. Make sure that your protocol includes regular keep-alives so that you won't time out someone that's just standing still/inactive.