If you live in a swing state or any state that is up for grabs, then yeah don't vote for third party. If your in a deep blue/red state, I'm talking > 15 percent swing, vote for whoever you want in the presidential, your votes just going to get collapsed into the state vote for the electoral college any way. Should still vote for the two parties or whoever's competitive in state and local elections because your vote can have an effect.
If the electoral college says my vote effectively doesn't matter in deciding the next president since I'm in California, then at least let me use my vote to send some sort of message.