Yes, use of substances distructive to your body will paralize your immune system.
The first thing i want to say is that you shouldn't be doing something if your so worried about the health risks, and if your not ready to take them. I feel that most people who use distructive substances have their reasons, and you should decide on yours as well.
the second thing that i want to say is that you should look at the othere things that might effect your immune system, are you getting enough rest, or are you staying up late and waking up early on week days and then hardly sleeping on weekends? Do you have a healthy diet? are you stressed out? are you happy? all of these things can effect your immune system and your body. Making sure that you are otherwise healthy will help your body cope with the distructive things you may be doing.
be sure to protect yourself when you become intoxicated, stay hydrated, try and know the negitive effects of the substances your using and how to reduce them. Most importantly, surround yourself with people who you care about and care about you.
Although i don't advise this activity, if your going to indulge in such things you may as well be healthy otherwise.