It is quite a lot of work, and you don't have to do it, but when it is cooked it gets papery and it also hinders the smoke from entering the meat and it doesn't let the sauce stick to the meat. The method I use is one I learned here on the forum. Take a butterknife and slide it under the membrane in the corner. Lift up the membrane with the knife until you can get a finger or two underneath it and then you should be able to pull the rest of the membrane off easily as long as it does not tear. It is quite labor intensive job and takes a while, but if you have the time it is worth it. I don't always do it, but it is better when I do. It is just a matter of preference. I used to use needle-nosed pliers to pull it off, but this was more difficult and I couldn't get my dad to leave them in the kitchen and not use them in the garage.
G'day,
Micah