Is it bad practice to say my callsign first in a transmission to ATC?
It depends on the country where you are flying, and also what the message is.

For example in the UK according to CAP 413 Chapter 2, section 2.48:


  2.48 
  
  Ground to Air: Aircraft callsign – message or reply.
  
  Air to Ground:
  
  
  Initiation of new information/request etc. – Aircraft callsign then message;
  Reply – Repeat of pertinent information/readback/acknowledgement then aircraft callsign.
  


In Germany the normal procedure is to start a message with the call sign, a reply may have the call sign at the end.  From the AIP, GEN section 3.4-9:


  6.1 Procedures for Radio Communications
  
  ...
  
  (4) The call sign shall be transmitted at the beginning of a message.
  A direct answer to a message may be terminated by the call sign
  instead.