I don't think you were playing "wrong." I think that you and your opponent are both playing ultra-aggressively, which is certainly a valid way to play the game.
But if I'm sitting across the table from an Ork opponent with 2 Tellyporta Pads in his HQ, I am probably not going to send my warlord to the first planet very often. And if I do, I'm certainly not going to leave him there, exhausted, for my opponent to keep porting in big guns to smack at my warlord with. The very first opportunity I get (ie, my very first non-Ranged combat turn), I'm probably going to retreat my warlord away from that death-trap.
So, I mean, unless you are using Tellyporta Pad to move your big Orks to any planet (instead of just the first), or if you are playing exhausting your warlord when you commit them to a planet in the Command Phase (instead of arriving at the planet indicated on the dial in the same state as they were in HQ - only the units that come with the warlord exhaust), you aren't playing anything "wrong." But your opponent isn't playing much defense, either.