The purpose of this study is to claim the validity of tuning the architecture of neural network models for multi-class classification. A neural network model for multi-class classification is basically constructed by building a series of neural network models for binary classification. Building a neural network model, we are required to set the values of parameters such as number of hidden nodes and weight decay parameter in advance, which draws special attention as the performance of the model can be quite different by the values of the parameters. For better performance of the model, it is absolutely necessary to have a prior process of tuning the parameters every time the neural network model is built. Nonetheless, previous studies have not mentioned the necessity of the tuning process or proved its validity. In this study, we claim that we should tune the parameters every time we build the neural network model for multi-class classification. Through empirical analysis using wine data, we show that the performance of the model with the tuned parameters is superior to those of untuned models.