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absolutely, and yes you should, not good to shoot a slug through a barrel with no choke tube. i use a improved skeet choke tube pretty much the same as imp cylinder.
It's definitely not a good idea to shoot without your chokes in, as you can damage the threads. You can use your improved or modified choke for slugs, or if you are willing to shell out about $20-$30 you can get yourself a rifled choke.
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A rifled choke tube would allow you to use sabot slugs. Shoot rifled slugs through modified or IC chokes.
Assuming your gun has only a front bead sight, the rifled choke tube may not offer any advantage over the smooth chokes because your range and accuracy will be limited by the "sights".
Buckshot will kill deer effectively if your gun shoots a good pattern and you limit your range to 50 yds, preferably 40. I far perfer to use slugs, even if I only had a front bead sight.