It wouldn't hurt, especially if you take more than one step down and turn your necks, you are really work hardening your necks. If uniform neck tension and case life is important to you then it sure would help.
Just do it after all the necking down is completed. If you do it before hand and get the neck/shoulder really soft, you will probably collaspe the shoulder when trying to neck it down and end up with a pile of junk brass.
Been there done that...... once!!! many years ago. Can send pictures if your interested in what the aftermath looks like.