In general, whenever you create a preview image for the first Linked Album in an Entry and then save it, then when you save the Entry, as long as there is not yet a preview image for the Entry, the Linked Album image will be pulled up as the Entry's preview image as well. So you don't need to do it twice.

Thus if you ever wish to change the preview image for both the first Linked Album and the Entry, simply change the Linked Album's preview image and save it, then delete the existing Entry preview image before saving the Entry and it will pull the LInked Album preview image into the Entry.