Should I use modal (语气) "了" in: 我去抽烟 vs. 我去抽烟了? If I say "I'm going to smoke" I would say "我去抽烟", right? Or would I say "我去抽烟了"? 

In this case, 了 represents a change, so I suppose 我去抽烟了 makes sense. Any difference in nuance between the two?
我去抽烟 is the standard way to express "I am going to have a cigarette". You don't need a "了" at all. Adding a "了" emphasizes the fact that you are about to do it RIGHT NOW. Sometimes, it implies that you are asking for others' opinions. For example, “如果没什么事，我去抽烟了.” （If you don't have anything else for me, I am going to have a cigarette now(outside).)