It isn't a good idea, nor is it a common practice to connect the output 0V terminal of a power supply to EARTH ..
This would mean that the DC power supply is no longer earth free on the output ..
In most cases this will not be a problem ..
However, you have to be careful if the circuit to which you connect the power supply to has also some connection to earth, e.g. if you cascade two power supplies in order to have positive and negative voltages ..
So, consider this: make connection beween EARTH and 0V(output) of your power supply with 1n-10nF capacitor in parallel with 1MΩ-10MΩ resistor ..
Adding resistor is important, as it equalizes potentials between EARTH and your power supply and cap provides good return path for RF signals ..
Regards,
IanP