Yes, you should use the shouldOverrideUrlLoading method. This method is called automatically, so you don't have to worry about the parameters. In order to use this method, you have to create first a WebViewClient like this:
private class HelloWebViewClient extends WebViewClient {
@Override
public boolean shouldOverrideUrlLoading(WebView view, String url) {
...
}
}
And then, you set it as your WebViewClient:
webview.setWebViewClient(new HelloWebViewClient());
When the shouldOverrideUrlLoading method is called you'll receive by parameter the WebView and the URL that is going to be loaded.