As a rule of thumb, you should always remove the stems from your marijuana before grinding it. The stems are generally much tougher and woodier than the rest of the plant, meaning they can end up making your final product less potent. In addition, stems can sometimes make grinding more difficult.
There are a few exceptions to this rule. If you have very dry marijuana, stems can actually help to loosen up the buds and make grinding easier. In addition, some people find that a small amount of stem in their final product helps to give it a more even burn. Ultimately, it's up to you whether or not to include stems in your final product.