I find the answer depends on what you are doing.
If the recipe is one where you add whole chorizos to a bean stew say, for slow boiling with the beans, then you will need to keep the skin on. This will tend to hold it together and limit oozing to either end of the sausage. the lovely paprika flavours will seep out into the stew, but the sausage will be intact for cutting up when serving.
If you are frying slices, eg before adding some mixed up eggs, like for a chorizo omelette, then remove the skin. I find this best done with a small sharp knife peeling from the ends of the sausage (the chain links naturally give you an opening when you cut through them. Put on your glasses and try and peel like an onion, ie upwards and roundwards. The skin should come off reasonably easily.
On cooked chorizo slices, prepacked, eg for tapas, appetisers, try a slice. If its rind is annoying, your decision will be to peel them.
Finally, I had some thin chorizo for grilling recently. It said so on its packet. I used it for frying into chorizo omelettes, and results wre that it was frazzled and hard. So it may be a lesson to check what it says on the pack, just in case it has a type of use.