How dare you un-jack this thread!!!
Actually I disagree. Unless you have a brake bleeder set up, you're likely to get air in the line when the piston reaches the end of it's compression. I'd rather have debris in the line than air.
It would be a good idea however to clamp the caliper on the opposite side of the vehicle so that as you compress the side you're working on, the piston on the other brake doesn't de-compress to the point of disengaging the guides or damaging a seal. That's why I always complete one side before I start on the other (go ahead ... ask me how I know).