Answer: YES, you should.
Which? Well, I love the Lyman receiver peep, because it's so easy to set, but in all honesty, the cheapest Williams peep will do the job as well, once you have it sighted it. This will set you back about $36, and many gunshops will install it free. If they won't, hey, nooo problem-- just get yourself some red Lok-Tite and do it yourself; it's easy. You'll want to remove the factory rear sight, but go ahead and save it, in the odd, weird, unlikely event that you actually shoot better with the factory open sights (less than 1 in ten do...).
BTW, you might consider a trigger job on it, too. I've found that the new '94s and 336's lately have a pretty tough trigger that any competent gunsmith can smooth out and lighten a tad for under $40 (around here.) While he's at it, he can stick on that receiver peep for you, usually for free, if you'll buy the sight from him. With a peep and a good trigger, these rifles are extremely easy to obtain good offhand practical accuracy.
One of the neat things about the Williams peep sights is that they're threaded to take a variety of apertures, should you choose to do some finer shooting in good light. You will find, however, that you can usually shoot as well with the "ghost ring", which is a much faster acquisition of target, and is more appropriate to this kind of rifle. Some don't like the fact that the ghost rings aren't "stock". This is a fact. They are NOT, however, incorrect for the period of the rifle-- many, MANY good riflemen were so equipping their lever actions in the late 19th century.
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BTW, CONGRATULATIONS! It's always nice to get another rifle, but you've got yourself a classic.
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Will you, too, be one who stands in the gap?
[This message has been edited by Long Path (edited September 05, 1999).]