Yes, that's a good idea, says Eva Scrivo, owner of the eponymous salon in New York City, because each product has a different function. After you shampoo, start with a conditioner or detangler to coat the hair so that the styling products you use next will be evenly absorbed. Follow that, if you like, with a mousse, styling gel, or styling lotion, which you should comb through your hair for even distribution, to increase the product's effectiveness. (Combing through ensures that the stuff covers the whole strand instead of just lying on top of it, so you get more volume or moisture saturation or whatever it is you're going for.) Finally, if your hair is frizzy or hard to control, work a silicone-based smoothing product through the ends before you blow-dry. After you've done your styling, you can use a spray for shine and hold, or, if you want a piecey look, try a texturizing wax.
Bottom Line: The magic formula is condition, style, then hold.