Yeah. See, if you put up the drywall first, and then put in your door, you have little room to insert the tappered wedges that are used to square and plumb the door.
You're going to have a small gap around the jamb and rough opening. Stuff it full of insulation, and if its less than a quater inch you can caulk it. If its more than that insert some type of backer rod in the gap (after the insulation) and caulk along that.
Then bring your drywall right up to the jamb, caulk that, then install the moulding. That should give you a REAL air-tight seal.