Modern transponders - absolutely no need.
Ancient transponders (like I was presented with last week) - always a good idea to go to the Standby position before touching any selector. It doesn't hurt to have "Alt" deselected for the short time that it takes to set the new Squawk.
It used to be that you were never given a Squawk starting with a "7" unless you had some sort of problem. Before I retired from professional flying about five years ago, I was even being given Squawks such as "7742".
Since re-entering the world of light aeroplanes I have also been given some interesting Squawks. One unit in the south of England (is it Bournemouth?) have given me "7377" on a couple of occasions. That could possibly be quite fun with a bit of finger trouble on an ancient transponder!