Well, depending on the intensity of the play and the character; and the level of immersion you are employing, I think it would be a good idea to experience the sensations of smoking - especially since the character is a chain smoker.  If it were an incidental habit, it would not be important.  But chain smoking is a psychological as well as physical habit and I don't think you can create a full-blooded characterization without it.  Whether or not you wind up subjecting the audience to cigarette smoke, I believe deference to the author's character delineation pretty much requires you to, at the very least, be familiar with the smoking experience.

"It seems that fate has taken a hand....!"