In short, no.
In long, windows is supposed to optimise which core handles which threads. If for someone reason Windows is acting funky (rare) you may need to. You also have to take into account hyper-threading and turbo-boost technologies that may be on your Intel chip.
If you've got turbo-boost, keeping more things on the one thread will cause that particular core to ramp up it's frequency in which case although the core has a higher utilisation it also has a dynamically higher frequency with something like a 1/3 additional processing power (it varies from model to model).
If you've actually got a single core CPU with hyperthreading, don't worry about it, affinity isn't going to do a thing. Hyperthreading is...kind of like a smart cache...sort of..to make context switches between threads less expensive.