C#: Anything wrong with setting HttpContext.Current in a parallel thread?

I’m using a library that relies on HttpContext.Current. The library is Facebook C# SDK, but my question should apply in other scenarios as well. I’d like to use this library from inside of a parallel thread. However, HttpContext.Current is not available in the parallel thread, so I’m thinking about caching it to a local variable and then setting it in the parallel thread like this: