Median of two sorted arrays - Is my approach bad?

This is regarding Leetcode problem:
https://leetcode.com/problems/median-of-two-sorted-arrays/

My approach was to compare if number in nums1 is smaller than number in nums2, if yes then add it to a third list. Otherwise add nums2 number to that list, and increment counters accordingly. After that, i have a sorted list which in which it is easier to find median. Look at code below (got accepted in LeetCode):

nums_sorted = []
    i,j = 0,0
    while i<len(nums1) and j<len(nums2):
        if nums1[i]<=nums2[j]:
            nums_sorted.append(nums1[i])
            i+=1
        else:
            nums_sorted.append(nums2[j])
            j+=1
    if i!=len(nums1):
        while i<len(nums1):
            nums_sorted.append(nums1[i])
            i+=1
    if j!=len(nums2):
        while j<len(nums2):
            nums_sorted.append(nums2[j])
            j+=1

    length = len(nums_sorted)
    if length%2:
        print("Odd numbers list: ", nums_sorted)
        return float(nums_sorted[length//2])
    else:
        print("Even numbers list: ", nums_sorted)
        return (nums_sorted[length//2 -1] + nums_sorted[length//2])/2

Is it a horrible approach? Isn't it O(n+m) ? Other complex solutions are driving me crazy

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