You don't have to, but yes, you sure can. One of our testers did this with great success. Complete step 1 of the instructions, and skip step 2. Yep. Skip it. Go right to step 3, chop up your peanut butter cups, and skip step 5. Add your liquid right to the ice cream machine and start freezing it. Add your chopped peanut butter cups about halfway through the freezing process, letting the machine mix them in as it stirs.