I've done it successfully before, and actually prefer it to having two separate balls. As long as it's not a self-patterning yarn (where direction would matter), I think you should be okay.
There is no right way to knit; there is no wrong way to knit. So if anybody kindly tells you that what you are doing is "wrong," don't take umbrage; they mean well. Smile submissively, and listen, keeping your disagreement on an entirely mental level. They may be right, in this particular case, and even if not, they may drop off pieces of information which will come in very handy if you file them away carefully in your brain for future reference. ~Elizabeth Zimmerman