Yes, you leave your pump on filter, unless you have a lot of bad stuff you want to vacuum out to waste so that it doesn't get in your filter. This is rare, mostly at the opening, or if a really bad algae bloom leaves you with very fine dead algae. There is a vacuum part that goes over the basket and makes a seal. Look at #7 in this link - it is probably what you want:

://www.poolsinc.com/pd_olyskim1.htm
You can find the part to the skimmer you have