Yes, if you can. A typical setup uses a part called a vacuum plate that fits over the top of the skimmer basket, and then you connect the vacuum hose to that. With such a setup, the skimmer basket catches any large debris, leaves for example, before they have a chance to get to the pump.
Sometimes, if you don't have a vacuum plate, you need to remove the skimmer basket and plug the hose directly into the bottom of the skimmer. This works, but it isn't as good because more debris will get to the pump, where it is more trouble to clean it out.