Not at all. You are free to file I-140 at any time. In fact, if you already have the DOS J-1 approved, you can file your I-485 concurrently if you have a current visa number available. But either way, there is no downside to filing I-140 now.
One caveat - I wouldn't leave the country until you have your H-1B. If you leave the country and try to reenter with your J-1 visa, you may be denied because 1- you've filed for a J-1 waiver and 2- you applied for an immigrant petition. Both are inconsistent with the purposes of the J-1 program, so you may not be admitted by at the airport.
Once you have your H-1B, that is a "dual intent" visa, so you can travel at well while that visa is valid.
