That may be a good idea considering that when either company computes your withholding tax, they don't know about the income you have from other sources and higher income typically means a higher tax bracket (%). Claiming 0 allowances results in a higher amount of tax withheld from your paycheck, meaning lower take-home pay, which could offset some or all of this differential between your true tack bracket (the one that includes all of your income) vs the tax bracket used to calculate your withholding at each company based solely on your income from that company.