Lane Violation on First Shot
 

I was administering free throws, and was about to give the ball to the shooter for the first shot. After I had passed the ball to the shooter, the guy in the top spot (fouling team) walks out of the space. I call lane violation. I said that if the shooter missed the first shot, he would get another attempt at the first shot.

Is this the correct way to penalize a lane violation on the first shot

You're 100% correct. (Assuming that the violation was because the shooter already had the ball.)

The administration of this violation is to not blow the whistle, or voice anything, but rather to let the shot continue as normal, but give the delayed free throw violation signal. If the shot misses, blow your whistle and say "lane violation, {colour and number}. Repeat how many shots are to be taken. If the shot goes in, continue with the next free throw and forget the delayed violation.

Gotcha...The only thing I did wrong then was to stop the shooter before he shot, because everyone on the shooting team looked at me and pointed at the violator

Had a delayed violation tonight. My P bounced ball to the thrower, he maybe should have hesitated as an opponent was getting ready to come into the lane on the second shot. Too late. Put out my fist looked at the coach and he just kind of shrugged his shoulders. Shot went in so it didn't matter.

By your description, you didn't give the delayed signal. You don't stop play and announce a violation unless of course it's on the shooting team and that nullifies the attempt immediately.