I used to, it was a must in my weber, but with the smoking-it its absolutely not necessary. in fact you can vary the amount and lengths of your smoke (for same amount of wood) by using a couple of the following techniques:
1, don't just use 1 larger chunk if you want quick and more sustained smoke in the same session. I shave off a few slivers of wood from my chunks I use and place it beside the chunks, the slivers will give off a quick puff of smoke in a hurry that will subside just in time for the bigger piece to come online :-)
2, run a test to see which part of you smoke box is the hotter-cooler. easy to do with the following method:
running an empty smoker and empty smoke box, place a thin aluminum foil (not the heavy duty kind) on the bottom of the smoke box. cover the bottom of it perfectly.
turn the smoker on max for a few hours.
let smoker cool down , then open the smoke box and observe the aluminum foil . you will see a discolored piece of foil . the more discoloration the hotter that location is.
next time you smoke, place your wood at the desired location....
now you can vary the intensity, length and speed of smoke by using one or both of these methods.
one other thing I discovered, some type of woods like it hotter, others like it cooler.
you can get some really sweet smelling smoke this way...