I agree with all the points that BelArgUSA makes - but I have always taken care of all the points that he raises by leaving QNH on the third altimeter, just as he does. So if ATC asks me to report at such and such an altitude, I can quickly check the third altimeter. I generally update the QNH on the third altimeter throughout cruise whenever I pick up the local QNH through radio traffic, so that I permanently have an accurate readout. It is also useful because I get an idea throughout the flight of whether I am flying towards low-pressure or high-pressure, and all that helps with understanding weather and winds ahead.
But I've always (until now) changed setting on the principal altimeters as soon as cleared to a new altimeter setting by ATC on the grounds that, as others point out, it is easy to get distracted while passing transition altitude or level and end up doing a level bust.
Good point BelArgUSa about including transtion altitude and level on pre-departure and pre-descent briefings.