No, it's not prohibited here. Just a popular pursuit among newcomers. To be honest, I really like the project idea of a rocket nozzle, it's an excellent application of home shop skills.
Turning thin shells like that will make a better machinist out of you; it looks like a tough part to make. Order of operations is probably the most important thing to sort out. Like I and others said, figure out if you can leave behind a piece to hold so that you can flip the part and work the other side. If you can make parting off your last step, you won't have to worry about fixturing after that.
Sometimes, it becomes necessary to make a custom arbor or fixture to clamp the machined features of the part so you can finish it. It's the preferred way to do it in production, but for one-off parts, you just want to be able to hold the part so you can machine it. It may use some sacrificial stock, but sometimes there is no other way.