Actually it is a "physicists shortcut". The point is that on both sides of the equation you have a d(something): dv on one side and dt on the other. These are "infinitesimal" quantities, that don't make sense except in "fractions" like dv/dt and under an integral sign. To make sense of an equation like
f(v) dv = g(t) dt
you could either write
\frac{dv}{dt} = \frac{ g(t) }{ f(v) }
(treating them like ordinary fractions) or you can integrate both sides, getting
\int f(v) dv = \int g(t) dt.
You will have to do it on both sides though (like in any equation you solve), something like
\int f(v) dv = g(t) dt
is nonsense. If you want to do a definite integration, consider the equation f(v) dv = g(t) dt as relating the change in velocity dv to the change in time dt. To get the change in velocity from the start of the motion to the end of the motion, you want to add up all these infinitesimal quantities during the motion. The time runs from time 0 to time t, while the velocity runs from the initial velocity v_0 to the final velocity v. The other way to solve it would be
\int \frac{dv'}{g + k v'} = \int -dt'
without boundaries, which would give you
\frac1k \ln( g + k v) = - t + C
where C is an integration constant (technically, there should be one on the other side as well, but subtracting it from both sides just gives a new constant on one side only). Now you can do the same manipulations as before, and get
v = \tilde C \frac{g}{k} e^{- t k }
where \tilde C is still unknown (related to C through \tilde C = e^{- k C}, as you can check). Now you can plug in t = 0, v = v_0 and this will give you an equation for \tilde C, of which the solution should be \tilde C = 1 + \frac{k v_0}{g} (I think) such that you get the same result as with the definite integration).
It probably sounds all elaborate and complicated, but I recommend you go through the steps to check that it indeed works out (and hopefully, to find out it's not as bad as it seems).
Finally, if you want to do it all rigorously (the "mathematicians way") you would start from
\frac{dv}{dt} = - g - k v
and integrate this equation over t and using the fundamental theorem of calculus:
\int_0^T \frac{dv}{dt} dt = v(t = T) - v(t = 0)
which will theoretically give you the same result as well (but requires more care, which is why it is actually better but no physicist ever uses it anymore after a while and just manipulates the dv and dt as separate things)