Yes you have to unless cleared for the visual. ORD is a perfect example where there might traffic beneath you.

But most airlines do CANPA for non-precision approaches now, and you will clear the vast majority of step downs if you use a 3 degree CANPA, or whatever glide angle is published on the chart. If you're too lazy to do step downs, start practicing CANPA...it works remarkably well. Actually it's safer, so not just a matter of being lazy. It helps to have a GPS to get an accurate groundspeed, but you can use atis winds to make a close estimate.

At SMX nobody is going to care.