Yes! It absolutely makes sense. It costs less and requires less later damage to the room if wiring, cable, etc. is installed before the walls are closed.
You might want to check with cable, satellite and computer installers to ensure that the latest type of cable and wiring is installed. Installing these connections in advance simplifies the process if you decide to use the room in a different way later, or if you sell your home and the buyer wants to use it differently.