In the future, use a sheet to cover the furniture. It's probably impossible to keep dogs off the furniture once they've got in the habit of jumping up on it. You can remove the sheets when company comes over. Works for me. I had a terrible shedding dog (mutt) once.

I would do what you are planning to do - vacuum to remove the fur, then apply something that might help absorb the oil from their fur, then vacuum again.

I use throw covers on my sofas to keep them clean. They are heavier than sheets, and provide more protection when a wet dog gets on the sofa. The fabric is also slightly nicer looking than sheets.

Get yourself a bottle of Natures Miracle at a pet store, this stuff is amazing :>) Spray it all over the couch and let it dry and all odors will be gone. I've used this stuff for years.