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Yes, you should indicate where you will first enter the Schengen area on the form, e.g. under “border of first entry or transit route” (that's field 32 on some forms) or “Member state of first entry” (field 23 on the last version of the harmonized form described in the Visa Code).
This need not be the country from which you are applying for a visa, which, as you already know, should be your main destination (but not necessarily the first one) and would be entered in field 21 or 22 (“Member State(s) of destination”/“Main destination”).
No matter what's on the form itself, you can also submit an itinerary in which you can explain your plan and list all the countries you intend to visit.