Do whatever you want, football is about entertainment after all. But like others have said, if you can't stand losing once in a while you might as well be a neutral fan.
Liverpool fans endured 5/6 years of disappointing seasons. Many stuck with them and they have evolved into one of the sexiest football styles in the EPL.
When city won the league, united were still top 3 and nobody would dare say another English club were objectively better. It would come down to a couple of bad games or an injury. Now, we can say that it isn't down to a couple of bad games and the management of the team is objectively worse (Fergie will be missed).
Pick a team and stick with it. Local is best because you don't need free-view to watch games with mates/your dad etc