It depends, mainly, on the third-party firewall. I have seen cases in which trying to install two software firewalls will cause both to be frightened or to cause the uninstallation of the other one. Of course, it would add much more administration and complexity, which would result in possible security risks. So I would have to say yes, depending on how the two firewalls and the specific firewall interact.
I'm general, I use a host and a network firewall instead of