No, unless you are moving your site from host to another, in which case your site would be down until your account at ASO has been setup and you have uploaded your data.
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It really depends on your situation. If you're moving your site to ASO, then setup your account first and make sure everything works before changing nameservers. If this is a new website, then by all means, change your nameservers.
What I do when I move to another host is set the address via my hosts file. I build my new website, or move my files to the new host. I check everything I can and after I'm satisfied, I will then point my nameserver to the new host.
I moved to a new host I had everything go through, received my confirmation email only to discover that my account was locked because the bank refused the charges. ...on a Friday night, and my bank was not open on Saturday or Sunday. Once I contacted the banks customer service it was determined that another transaction had triggered a Fraud alert against my credit card. Sadly, shortly afterwards an MSN transaction showed up and was cleared as was an AOL transaction. *sigh* I went back to my Credit Union.
...anyway. I would build the new site, set my hosts file to point to it; and after I am satisfied, then point the nameservers.