Absolutely not. You do you. While some may claim the appropriate order of things is cocktails first and wine after, there have been plenty of times when I’ve been out to dinner and chosen to have a cocktail at the end of a meal instead of consuming more wine –– especially one that was created as a digestif. It’s more important to drink what you want than to worry about the correct order of your consumption.
And the old wives’ tale that spirits should go before wine or beer to stay in the clear is just that, a wives’ tale. As long as you consume responsibly, you’ll feel just fine.