It is important to say no. We all come across situations where the best thing to do would be to back out, give up, maybe even "chicken out". Your frinds are pressing ou for another drink which you know you cannot take. What are you going to do? Say no. But more important than saying no is to learn how to say no. You can say no to someone on his face, which sounds rude already as you may perceive from this statement. You can also say no and let someone take it more smoothly.
Often times, a lot of us don't do this. Cause we are all polite to an extent. No one is a jerk to the core. One however needs to remember that you cannot make everyone happy. If everyone gets happy, there is a good chance you are compromising somewhere. The choice is yours to make.