MAX_BONES = 35;
...
vector<D3DXMATRIX> vMat; // vMat size varies from 20 - 30 depending on a model
...
effect->SetValue(hMatrices, &vMat[0], MAX_BONES * sizeof(D3DXMATRIX));
...
float4x4 mats[MAX_BONES];
...
Yes, that is a common approach.
However, your SetValue call should use vMat.size()*sizeof(D3DXMATRIX), otherwise you're reading past the end of the vector.
effect->SetValue(hMatrices, &vMat[0], vMat.size() * sizeof(D3DXMATRIX));
float4x4 mats[35];
[quote name='belfegor' timestamp='1357390934' post='5017725']is there a harm if it reads past the end of a vector, even if that data isn't used? Or is it undefined behaviour?[/quote]Yes it's harmful; it could crash your program. If you're lucky, nothing bad will happen (besides the extra bones containing garbage values), but it could crash depending on how the OS has decided to allocate your memory...
I got shader error if i pass it like this:[/quote]Ah, that must be an issue with the D3DX Effect framework -- I usually just use D3D shaders directly, and they allow you to send less data than the shader requires (with the unsent elements of the array containing garbage values).
In that case, just use vMat.resize(MAX_BONES) to avoid the error and also avoid the undefined behaviour 
