I'll use Thai as an example because I speak/read/write Thai, but the following is also true for most other languages...
If you were raised speaking english, then the roman letters of the english alphabet have distinct pronounciations/sounds to you. They make these sounds in your head when you read them. Someone born in mexico will have a different alphabet, and heck even australians and British people have different sounds for their letters than Americans. Heck even Americans from different regions have different sounds.
The point is that Thai people make different noises when they speak. They do not have an "z" sound. Frankly, none of their sounds match up exactly to any of our sounds. When you spell thai words using the english alphabet, you will then tend to read the word back as you have written it, in English, and thus incorrectly. Thai letters have Thai sounds, so you should learn this second alphabet and then you can read thai words by making the correct thai sounds.
If a language has an official transliteration system, such as pinyin for Chinese, then it may possibly work, but you are still essentially learning a second alphabet, merely one with the same shaped letters. For languages like Thai though, there is no official transliteration, and making your own and using it consistently would be more difficult than simply learning the Thai alphabet, and infact would more or less require learning the Thai alphabet.
For an extreme example, consider that African language that has the clicky sounds. How would you even begin to remember how a word sounds if you were storing it in your brain as text after transliterating it into the English alphabet? "Click clack click clack" is not the correct pronunciation.
Edit: I re-read your comment and see that you speak Japanese. You are using roman-looking letters, but you are surely being very careful to read the letters using Japanese sounds. Given that an alphabet is a set of letters that represent phonemes, are you really using the English alphabet or have you created a second, phonetic Japanese alphabet that happens to have identical shapes?