Yes, even wound allocation applies in any situation where Unit A is wounding Unit B.
The only sorta-exception to this is in assaults, where wounds are allocated after each model attacks in Initiative order. Im far, far too tired to explain this, so i'll give a page reference instead.
"The Assault Phase: Wound Allocation" BrB, page 39.
Also, if you play him again and he doesn't believe you:
"The Shooting Phase: Remove Casualties" BrB, Page 24
Oh, and in Assaults, Independant Characters are treated as a separate single-model unit. Rules for this can be found on page 41: "Multiple Combats".