Not at all. There's only so big a ball you can wind and when you reach a certain threshold, you are forced to snip. This is probably a bigger problem with lofty and bulky yarns. I rarely have to do this, but if you have a large hank or skein of yarn you are winding, you may need to clip.
You should check out Amy's tutorial on joining yarn if you are working with wool. You'll be able to get that yarn back together with no problem once you start knitting it.