It's up to you if you'd like to alternate skeins or not. Hand-dyed yarn has natural variations that can cause obvious color differences in the knitted fabric, so most hand dyers recommend alternating skeins every row or two in order to minimize the differences. Most commercially-dyed yarns are relatively consistent with color and there's less need to alternate skeins if you're using those. However, it's helpful to check that your skeins are from the same dye lot, as different dye lots are often the source of variations (even in commercially produced yarn). When in doubt, it never hurts to alternate, but it's entirely up to you.
I tend to not alternate skeins because I find it fiddly, but I also know that I may end up with very obvious lines where the color has changed slightly and I accept the consequences of my choices. 