For the guns I shoot & clean often, I don't take the chokes out ABSOLUTELY every time. For seldom used guns, then I always take the chokes out when cleaning, beacuse it might be a greater length of time before I use the gun again. That's just me.
That being said, you should take out the chokes to clean the threads and make sure there is no crud in there. I clean the bore with the choke in place first and then remove the choke afterwards for cleaning. That process keeps me from dragging all the crud across the threads on the way out.
Use a little gun oil when you reinstall and hand tighten them. (Some use neverseez, but I don't) The worst thing you don't want is a corroded choke from neglect! That would mean it is difficult or impossible to remove and will cost you money to repair. Just take care of the chokes as you would the rest of the gun and all will be alright.
Good Luck!