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Yes remove it, Jeff has instructions on the other site, along w/ video, Smoking-Meat.com. He pretty much says by starting a corner with a knife, and then grab it w/ a paper towel, and pull.
What works for me is to start separating the membrane on one end near a rib bone, I use a butter knife for this so it doesnt tear the membrane very easily. I just slide the knife along the bone to get it under the membrane.
Then I work a finger under and work the membrane until I can get a little bit lifted up. Then, grab a pair of pliers and go to town with it. They make pliers specifically for skinning catfish (such as these from cabelas - http://www.cabelas.com/p-0053579014941a.shtml ) but I just keep a pair of normal pliers in the kitchen for kitchen use only. Works quite well for me.
And yeah, as was mentioned sometimes the membrane peels right off with very little effort and sometimes you struggle with it for what seems like a week before you get it all off.
I found something that works slicker than a whistle. Go find your fish tackle box and grab your catfish skinning pliers. It works great for this also. I just get a corner loose enough so I can get a grip and start pulling easy. I stop every so often to get a new bite closer to where the membrane meets the meat. The membrane doesn't seem to break off as easy doing that. If you don't have a pliers I'd go and buy one. They're not that expensive and to me well worth the money.