What sarahk said, but if you have other ordering criteria another approach may be to not sort by month. Instead:
Set up an $array with twelve elements, one for each month, indexed 1-12 (the same values used in the month field).
Get the data from the database in one request, loop through the records, find out which $month each record applies to, and store it in the $array[$month] array.
So that January's records will be in $array[1], February's in $array[2], etc.
Basically, I prefer getting the data out of the database first, massaging it into an appropriate form, and then trying to display it.