Absolutely leave it on! I do thighs and drumsticks, quarters, and whole chickens cut in half, always with the skin on. It soaks up sauce, and fat conveys flavor better than anything. 3-4 hours at a light 250 will get it so succulent and saucy that that it melts in your mouth and blends with the pullable dark meat, carefully held with two hands so that it doesn't fall off the bone between the plate and your mouth.
I brine it, spray it with a 1-to-3 mix of apple cider vinegar and apple cider, pepper it liberally, and cook for 2 or 2.5 hours. Don't look. Then, I'll sauce it with lowcountry SC mustard-based goodness on both sides, leave the skin side up, and cook for another hour or so, dolloping more sauce on top every 20 minutes (my smoker gets back up to temp very quickly). Be sure to warm your sauce first, so you won't lower the temp of your meat too much during application.
Good luck!