Yes, yes, yes. You absolutely should not play Eternal Punishment before Innocent Sin. Now, if you were someone who already did this back in the PS1 days since you had no choice, that is one thing. But if you’ve never played either, pick up a PSP or Vita and check out Innocent Sin first and then Eternal Punishment. This is because Innocent Sin is the first game in this duology, and it has events that happen that set up what is to come in Eternal Punishment. Some of the twists and revelations that happen in that particular game will not carry the weight that they could if you play them in the correct order. This is the must-play order for these games. That said, I do not think you have to play Persona 1 before these; you can do without doing that.