I have employed a previous scheme in the past as well - but this was due to location of the users more than the cost of the lab.
A previous company I worked for seemed to always run into the situation where the users for the system were always "too far away" and the cost to bring them in for testing was "prohibative". So we had to come up with a solution.
We didn't use pcAnywhere, but we installed the application as a published app on a Citrix Terminal Server and shadowed the connection. This allowed us to see what the user was doing, while recording the actions for later playback through some built in tools on the Citrix server.
It worked, and was the best for the situation. I am trying to employ it where I am currently working, but not via Citrix, through something a little less complex like WinVNC