It's probably a good idea, but I guess it would depend on how often or how much you are drinking. Most of us here have realized that it can make anxiety and depression much worse, and also may inhibit your progress with the program.
I'll be honest, I am not quitin alcohol cold turkey. My priority however is to decrease my intake and eventually cut it out of my system for good. I've been doin good so far by myself but there have been some setbacks, I can't deny. Good luck!